UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22019
First Trust Exchange-Traded AlphaDEX® Fund
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)
Registrant’s telephone number, including area code: (630) 765-8000
Date of fiscal year end: July 31
Date of reporting period: July 31, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
| (a) | | The registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
First Trust Exchange-Traded AlphaDEX® Fund
AlphaDEX® Sector Funds
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) |
First Trust Consumer Staples AlphaDEX® Fund (FXG) |
First Trust Energy AlphaDEX® Fund (FXN) |
First Trust Financials AlphaDEX® Fund (FXO) |
First Trust Health Care AlphaDEX® Fund (FXH) |
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) |
First Trust Materials AlphaDEX® Fund (FXZ) |
First Trust Technology AlphaDEX® Fund (FXL) |
First Trust Utilities AlphaDEX® Fund (FXU) |
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Annual Report
July 31, 2023
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, as the “Funds”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund performance on each Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund’s performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund’s performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that:informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust Exchange-Traded AlphaDEX® Fund
Annual Letter from the Chairman and CEO
July 31, 2023
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the Sector Funds of the First Trust Exchange-Traded AlphaDEX® Fund (the “Funds”), which contains detailed information about the Funds for the twelve months ended July 31, 2023.
In a widely unexpected announcement, Fitch Ratings (“Fitch”), a provider of credit ratings, commentary, and research, downgraded the credit rating of the United States government from its highest rating of AAA to its second-highest rating of AA+ on August 1, 2023. The move marks the first time the U.S. government’s credit rating has been downgraded since 2011. Fitch cited the heightened potential of a near-term economic recession in the U.S. as well as the rising interest burden of government debt as two factors that contributed to their decision to implement the downgrade. We will leave it to the pundits to debate whether the downgrade was warranted or not. What we would like to see is a reduction in government spending. As of June 30, 2023, the U.S. government’s deficit stood at $1.39 trillion, already above the 2022 full year deficit of $1.37 trillion, according to Brian Wesbury, Chief Economist at First Trust. As Fitch noted in the press release of its downgrade, the interest burden on U.S. government debt, among other factors, is expected to catapult the general government deficit to 6.3% of gross domestic product (“GDP”) in 2023, up from 3.7% in 2022.
The Federal Reserve (the “Fed”) has made significant progress in its battle with rising prices. Inflation, as measured by the twelve-month trailing rate on the Consumer Price Index (“CPI”), stood at 3.2% on July 31, 2023, down significantly from its most recent high of 9.1% set on June 30, 2022, but up from 3.0% on June 30, 2023. While a reduction in the CPI is welcome, the metric remains well-above the Fed’s goal of 2.0%. Should the CPI remain stubbornly high, it may prompt further increases to the Federal Funds target rate over the coming months, which could hamper economic growth, in our opinion. That said, U.S. GDP has remained resilient, growing over each of the last four quarters (through June 30, 2023).
Whether the U.S. can avoid an economic recession over the coming months remains to be seen. As mentioned above, despite tighter monetary policy, the U.S. economy posted positive changes to GDP over each of the last four quarters. We continue to hope for a “soft landing,” but also keep our eyes fixated on the data.
Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months.
Sincerely,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
First Trust Exchange-Traded AlphaDEX® Fund
Annual Report
July 31, 2023
Robert F. Carey, CFA
Senior Vice President and Chief Market Strategist
First Trust Advisors L.P.
Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst (“CFA”) designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service and Registered Rep.
State of the U.S. Economy
A new bull market was ushered in when the S&P 500® Index (the “Index”) closed at 4,293.93 on June 8, 2023, 20.04% above its most recent low of 3,577.03 which occurred on October 12, 2022. Driven by developments in Artificial Intelligence and a myriad of positive economic data, the Index has had an exceptional year so far in 2023. That said, the Federal Reserve (the “Fed”) continues to battle stubbornly high inflation. Inflation, as measured by the 12-month change in the rate of the Consumer Price Index, stood at 3.2% on July 31, 2023, up from 3.0% on June 30, 2023, and 1.2 percentage points higher than the Fed’s 2.0% goal rate for the metric. Suffice it to say, inflation is not just a domestic issue. Ten of the eleven countries that comprise the so-called “Group of Ten” reported headline inflation numbers greater than their target rates in August 2023, with Switzerland being the only outlier. As many investors may know, the Fed has been working on orchestrating a “soft landing” for the U.S. economy, raising interest rates just enough to quell inflation, but not so high as to cause an economic recession. Soft landings have been very difficult to engineer. Since its inception, the Fed has only been able to pull off a soft landing once.
The latest global growth forecast from the International Monetary Fund (“IMF”) released in July 2023 sees real gross domestic product (“GDP”) rising by 3.0% worldwide in 2023, down from 3.5% in 2022. In the U.S., the IMF forecasts real GDP could grow by 1.8% in 2023, down from 2.1% in 2022. The IMF notes that July’s U.S. real GDP figure reflects resilient consumer consumption in the first quarter of the year, a trend they are quick to note is not likely to last. In 2024, the IMF estimates that U.S. real GDP could fall to just 1.0%. Overall, Advanced Economies are projected to register a 1.5% growth rate in 2023, before declining to 1.4% in 2024. Emerging Market and Developing Economies are projected to grow faster than Advanced Economies. The IMF estimates their growth rate to register 4.0% and 4.1% in 2023 and 2024, respectively.
ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds (“ETFs”) and related exchange-traded products (“ETPs”) listed globally stood at a record $10.51 trillion on June 30, 2023 (most recent data), according to its own release. Net inflows to ETFs/ETPs listed globally totaled $376.19 billion in the first six months of 2023. June marked the 49th consecutive month of net inflows into the category. Equity ETFs reported $162.77 billion in net inflows year-to-date (“YTD”) through June 30, 2023, significantly lower than the $277.33 billion in net inflows over the same period last year. Fixed income ETFs saw net inflows of $142.01 billion YTD, higher than the $84.47 billion in net inflows over the same period last year.
Sector/Equity Investing
The major U.S. stock indices delivered positive results over the past twelve months. The S&P 500®, the S&P MidCap 400® and S&P SmallCap 600® Indices posted total returns of 13.02%, 10.47% and 5.26%, respectively, for the twelve-month period ended July 31, 2023. Nine of the eleven major sectors that comprise the Index were up on a total return basis. The top performer was the Information Technology sector, up 26.85%, while the worst showing came from the Real Estate sector, down 10.63%.
Fund Performance Overview (Unaudited)
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
The First Trust Consumer Discretionary AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Consumer Discretionary Index (the “Consumer Discretionary Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Consumer Discretionary Index. The shares of the Fund are listed and trade on the NYSE Arca, Inc. (the “NYSE Arca” or the “Exchange”) under the ticker symbol “FXD.”
The Consumer Discretionary Index is a modified equal-dollar weighted index designed by ICE Data Indices, LLC or its affiliates (“IDI”) to objectively identify and select stocks from the Russell 1000® Index in the consumer discretionary sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Consumer Discretionary Index | | | | | | | |
| | | | | | | |
S&P 500® Consumer Discretionary Index | | | | | | | |
Russell 1000® Consumer Discretionary | | | | | | | |
| On or about September 18, 2008, Russell Investment Group (“Russell”) began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the Russell Global Sectors (“RGS”). The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell changed the name of the Russell 1000® Consumer Discretionary and Services Index to the Russell 1000® Consumer Discretionary Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Consumer Discretionary Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a net asset value (“NAV”) return of 16.93% during the period covered by this report. During the same period, the S&P 500® Consumer Discretionary Index (the “Benchmark”) generated a return of 7.43%. The Specialty Retail industry received an allocation of 19.9% in the Fund, which was the greatest allocation to any industry during the period covered by this report. Investments in this industry contributed 3.1% to the Fund’s return. Investments in Hotels, Restaurants & Leisure had the largest positive contribution to the Fund’s return, contributing 4.6% during the period with a 15.4% weighting in the Fund. The Fund had very few negative contributions to the Fund’s return, with the largest coming from the Consumer Staples Distribution and Retail industry at -0.3%.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Consumer Discretionary Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Consumer Discretionary AlphaDEX® Fund (“FXD”). Neither FTP, the Trust, nor FXD is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXD particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXD or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXD into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXD to be issued or in the determination or calculation of the equation by which FXD is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXD. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
DraftKings, Inc., Class A | |
| |
Under Armour, Inc., Class A | |
| |
| |
| |
| |
Skechers U.S.A., Inc., Class A | |
Royal Caribbean Cruises Ltd. | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Consumer Staples AlphaDEX® Fund (FXG)
The First Trust Consumer Staples AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Consumer Staples Index (the “Consumer Staples Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Consumer Staples Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXG.”
The Consumer Staples Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the consumer staples sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Consumer Staples Index | | | | | | | |
| | | | | | | |
S&P 500® Consumer Staples Index | | | | | | | |
Russell 1000® Consumer Staples Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Consumer Staples Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 2.87% during the period covered by this report. During the same period, the S&P 500® Consumer Staples Index (the “Benchmark”) generated a return of 5.41%. The Food Products industry received an allocation in the Fund of 47.5% during the period covered by this report. This was by far the greatest allocation to any industry in the Fund during the period and it contributed 1.0% to the Fund’s overall return. A larger return contribution, however, came from the Health Care Providers & Services industry. With just an average weight during the period of 10.1%, it contributed 1.3% to the Fund’s return. The industry with the greatest drag on Fund’s return was the in Household Products industry, which received an allocation of 5.8% and contributed -0.8% to the Fund’s overall return for the period.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Consumer Staples Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Consumer Staples AlphaDEX® Fund (“FXG”). Neither FTP, the Trust, nor FXG is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXG particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXG or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXG into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXG to be issued or in the determination or calculation of the equation by which FXG is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXG. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Consumer Staples AlphaDEX® Fund (FXG) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
Archer-Daniels-Midland Co. | |
Tyson Foods, Inc., Class A | |
| |
Casey’s General Stores, Inc. | |
| |
| |
Darling Ingredients, Inc. | |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Energy AlphaDEX® Fund (FXN)
The First Trust Energy AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Energy Index (the “Energy Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Energy Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXN.”
The Energy Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the energy sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Energy Index | | | | | | | |
| | | | | | | |
| | | | | | | |
Russell 1000® Energy Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. In addition to the implementation of the RGS, Russell combined the Russell 1000® Integrated Oils Index and the Russell 1000® Other Energy Index into one index, the Russell 1000® Energy Index. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Energy Index because this index did not exist until on or about September 18, 2008. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 6.38% during the period covered by this report. During the same period, the S&P 500® Energy Index (the “Benchmark”) generated a return of 16.25%. The Oil, Gas, & Consumable Fuels industry received the greatest allocation of any industry in the Fund during the period covered by this report. During the period, this industry’s allocation in the Fund was 90.8% and contributed 8.8% to the Fund’s overall return. The Electrical Equipment industry had the largest negative contribution toward the Fund’s return. This industry received an allocation of 1.0% and caused -0.7% contribution to overall Fund return during the period.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Energy Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Energy AlphaDEX® Fund (“FXN”). Neither FTP, the Trust, nor FXN is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXN particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXN or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXN into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXN to be issued or in the determination or calculation of the equation by which FXN is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXN. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Energy AlphaDEX® Fund (FXN) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
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| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Financials AlphaDEX® Fund (FXO)
The First Trust Financials AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Financials Index (the “Financials Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and real estate investment trusts (“REITs”) that comprise the Financials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXO.”
The Financials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the financial services sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Financials Index | | | | | | | |
| | | | | | | |
S&P 500® Financials Index | | | | | | | |
Russell 1000® Financials Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Financials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. On September 18, 2020, the name of the Russell 1000® Financial Services Index was changed to Russell 1000® Financials Index. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 3.24% during the period covered by this report. During the same period, the S&P 500® Financials Index (the “Benchmark”) generated a return of 7.09%. The greatest allocation in the Fund was 28.4% to the Banking industry. Investments in this industry caused a -1.1% contribution the Fund’s overall return. This was the largest negative contribution to the Fund’s return. The industry with the greatest contribution to the Fund’s return were investments in the Insurance industry. This industry received an allocation of 26.6% and contributed 4.3% to the Fund’s return during the period.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Financials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Financials AlphaDEX® Fund (“FXO”). Neither FTP, the Trust, nor FXO is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXO particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXO or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXO into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXO to be issued or in the determination or calculation of the equation by which FXO is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXO. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Financials AlphaDEX® Fund (FXO) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
New York Community Bancorp, Inc. | |
| |
| |
First Citizens BancShares, Inc., Class A | |
Brighthouse Financial, Inc. | |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Health Care AlphaDEX® Fund (FXH)
The First Trust Health Care AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Health Care Index (the “Health Care Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Health Care Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXH.”
The Health Care Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the health care sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Health Care Index | | | | | | | |
| | | | | | | |
S&P 500® Health Care Index | | | | | | | |
Russell 1000® Health Care Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Health Care Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of -1.69% during the period covered by this report. During the same period, the S&P 500® Health Care Index (the “Benchmark”) generated a return of 3.03%. The Health Care Providers & Services industry and the Biotechnology industry had the two largest weights during the period, at 27.8% and 23.9%, respectively. The Biotechnology industry also had the largest contribution of any industry toward the Fund’s return, contributing 2.1%. The largest drag on Fund performance came from the Life Sciences Tools & Services industry at -1.9%.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Health Care Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Health Care AlphaDEX® Fund (“FXH”). Neither FTP, the Trust, nor FXH is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXH particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXH or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXH into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXH to be issued or in the determination or calculation of the equation by which FXH is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXH. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Health Care AlphaDEX® Fund (FXH) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| % of Total
Long-Term
Investments |
United Therapeutics Corp. | |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
The First Trust Industrials/Producer Durables AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Industrials Index (the “Industrials Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Industrials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXR.”
The Industrials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the industrials and producer durables sectors that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Industrials Index | | | | | | | |
| | | | | | | |
S&P 500® Industrials Index | | | | | | | |
Russell 1000® Industrials Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Industrials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. On September 18, 2020, the name of the Russell 1000® Producer Durables Index was changed to Russell 1000® Industrials Index. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 16.23% during the period covered by this report. During the same period, the S&P 500® Industrials Index (the “Benchmark”) generated a return of 17.62%. The industry with the greatest allocation in the Fund was the Machinery industry, which carried an average weight of 17.3% and contributed 3.8% to the Fund’s overall return, which was the best of any industry during the period covered by this report. The worst contribution to the Fund’s return came from investments in the IT Services industry. These securities contributed -0.7% to the Fund’s return during the period.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Industrials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Industrials/Producer Durables AlphaDEX® Fund (“FXR”). Neither FTP, the Trust, nor FXR is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXR particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXR or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXR into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXR to be issued or in the determination or calculation of the equation by which FXR is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXR. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
| |
Packaging Corp. of America | |
Knight-Swift Transportation Holdings, Inc. | |
Schneider National, Inc., Class B | |
| |
Builders FirstSource, Inc. | |
MDU Resources Group, Inc. | |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Materials AlphaDEX® Fund (FXZ)
The First Trust Materials AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Materials Index (the “Materials Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Materials Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXZ.”
The Materials Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the materials and processing sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Materials Index | | | | | | | |
| | | | | | | |
| | | | | | | |
Russell 1000® Basic Materials Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Basic Materials Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. On September 18, 2020, the name of the Russell 1000® Materials and Processing Index was changed to Russell 1000® Basic Materials Index. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 12.41% during the period covered by this report. During the same period, the S&P 500® Materials Index (the “Benchmark”) generated a return of 12.16%. Two industries received the majority of the Fund’s allocation during the period covered by this report. Investments in the Chemicals industry received an allocation of 50.6% and caused a 4.7% contribution to the Fund’s overall return. The Metals & Mining industry carried an average weight of 37.2% and contributed 7.3% to the Fund’s return, the greatest contribution of any industry during the period. No industry allocations had significant negative contributions toward the Fund’s return over the period. The least contribution came from the Containers & Packaging industry at -0.0%.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Materials Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Materials AlphaDEX® Fund (“FXZ”). Neither FTP, the Trust, nor FXZ is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXZ particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXZ or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXZ into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXZ to be issued or in the determination or calculation of the equation by which FXZ is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXZ. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Materials AlphaDEX® Fund (FXZ) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| % of Total
Long-Term
Investments |
CF Industries Holdings, Inc. | |
| |
| |
| |
| |
United States Steel Corp. | |
| |
| |
| |
Reliance Steel & Aluminum Co. | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Technology AlphaDEX® Fund (FXL)
The First Trust Technology AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Technology Index (the “Technology Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Technology Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXL.”
The Technology Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the technology sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Technology Index | | | | | | | |
| | | | | | | |
S&P 500® Information Technology Index | | | | | | | |
Russell 1000® Technology Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Technology Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of 15.36% during the period covered by this report. During the same period, the S&P 500® Information Technology Index (the “Benchmark”) generated a return of 26.85%. The Software industry received an allocation of 26.9% and contributed 4.5% to the Fund’s return. The Semiconductor industry was weighted at 25.2% and had the greatest contribution to the Fund’s performance during the period, contributing 7.4% to the Fund’s return. The largest drag on the Fund’s performance was from the Professional Services industry. While weighted at 6.4%, it contributed -0.6% to the Fund’s return during the period.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Technology Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Technology AlphaDEX® Fund (“FXL”). Neither FTP, the Trust, nor FXL is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXL particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXL or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXL into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXL to be issued or in the determination or calculation of the equation by which FXL is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXL. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Technology AlphaDEX® Fund (FXL) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Palantir Technologies, Inc., Class A | |
| |
| |
DoubleVerify Holdings, Inc. | |
| |
| |
| |
| |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Utilities AlphaDEX® Fund (FXU)
The First Trust Utilities AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the StrataQuant® Utilities Index (the “Utilities Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Utilities Index. The shares of the Fund are listed and trade on the NYSE Arca under the ticker symbol “FXU.”
The Utilities Index is a modified equal-dollar weighted index designed by IDI to objectively identify and select stocks from the Russell 1000® Index in the utilities sector that may generate positive alpha relative to traditional passive-style indices through the use of the AlphaDEX® selection methodology. Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
StrataQuant® Utilities Index | | | | | | | |
| | | | | | | |
| | | | | | | |
Russell 1000® Utilities Index(1) | | | | | | | |
| On or about September 18, 2008, Russell began calculating its Russell U.S. Indices using an enhanced Russell sector scheme, the RGS. The RGS and the former U.S. sector scheme ran in tandem until June 30, 2009, when Russell officially transitioned to the RGS and ceased calculating its indices using the U.S. sector scheme. Consequently, performance data is not available for all the periods shown in the table for the Russell 1000® Utilities Index because performance data does not exist for each of the entire periods using solely the U.S. sector scheme, or alternatively, using solely the RGS. |
(See Notes to Fund Performance Overview on page 22.)
Performance Review
The Fund generated a NAV return of -3.01% during the period covered by this report. During the same period, the S&P 500® Utilities Index (the “Benchmark”) generated a return of -6.44%. The Fund had an allocation of 51.9% to the Electric Utilities industry during the period which was by far the largest allocation of any industry during the period. The Electrical Equipment industry, however, had the largest positive contribution to the Fund’s return during the period. With an average weight of 7.4%, it contributed 1.1% to the Fund’s return. The Gas Utilities industry investments were the largest negative contributor to the Fund’s return at -2.2%.
Source ICE Data Indices, LLC (“ICE Data”), is used with permission. “StrataQuant®” is a service/trade mark of ICE Data or its affiliates. Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indices. Russell®, Russell 1000® and Russell 3000® are all registered trademarks of Frank Russell Company. Russell 1000® and Russell 3000® are being utilized in the indices under license. These trademarks have been licensed along with the StrataQuant® Utilities Index (“Index”) for use by First Trust Portfolios L.P. (“FTP”) in connection with the First Trust Utilities AlphaDEX® Fund (“FXU”). Neither FTP, the Trust, nor FXU is sponsored, endorsed, sold or promoted by ICE Data, its affiliates or its Third Party Suppliers including without limitation Frank Russell Company (“ICE Data and its Suppliers”). ICE Data and its Suppliers make no representations or warranties regarding the advisability of investing in securities generally, in FXU particularly, the Trust or the ability of the Index to track general stock market performance. ICE Data’s only relationship to FTP is the licensing of certain trademarks, trade names and the Index or components thereof. The Index is determined, composed and calculated by ICE Data without regard to FTP or FXU or its holders. ICE Data has no obligation to take the needs of FTP or the holders of FXU into consideration in determining, composing or calculating the Index. ICE Data is not responsible for and has not participated in the determination of the timing of, prices of, or quantities of FXU to be issued or in the determination or calculation of the equation by which FXU is to be priced, sold, purchased, or redeemed. Except for certain custom index calculation services, all information provided by ICE Data is general in nature and not tailored to the needs of FTP or any other person, entity or group of persons. ICE Data has no obligation or liability in connection with the administration, marketing, or trading of FXU. ICE Data is not an investment advisor. Inclusion of a security within an index is not a recommendation by ICE Data to buy, sell, or hold such security, nor is it considered to be investment advice.ICE DATA AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). ICE DATA AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES AND THE INDEX DATA, WHICH ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK.
Fund Performance Overview (Unaudited) (Continued)
First Trust Utilities AlphaDEX® Fund (FXU) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Consolidated Edison, Inc. | |
| |
| |
| |
Brookfield Renewable Corp., Class A | |
| |
Clearway Energy, Inc., Class C | |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Notes to Fund Performance Overview (Unaudited)
Total returns for the periods since inception are calculated from the inception date of each Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor.
Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period May 8, 2007 (inception) to May 10, 2007 (the first day of secondary market trading), the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Understanding Your Fund Expenses
July 31, 2023 (Unaudited)
As a shareholder of First Trust Consumer Discretionary AlphaDEX® Fund, First Trust Consumer Staples AlphaDEX® Fund, First Trust Energy AlphaDEX® Fund, First Trust Financials AlphaDEX® Fund, First Trust Health Care AlphaDEX® Fund, First Trust Industrials/Producer Durables AlphaDEX® Fund, First Trust Materials AlphaDEX® Fund, First Trust Technology AlphaDEX® Fund or First Trust Utilities AlphaDEX® Fund (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2023.
Actual Expenses
The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.
Hypothetical Example for Comparison Purposes
The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
February 1, 2023 | Ending
Account Value
July 31, 2023 | Annualized
Expense Ratio
Based on the
Six-Month
Period | Expenses Paid
During the
Six-Month
Period (a) |
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Consumer Staples AlphaDEX® Fund (FXG) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Energy AlphaDEX® Fund (FXN) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Financials AlphaDEX® Fund (FXO) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Health Care AlphaDEX® Fund (FXH) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Understanding Your Fund Expenses (Continued)
July 31, 2023 (Unaudited)
| Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period | Expenses Paid During the Six-Month Period (a) |
First Trust Materials AlphaDEX® Fund (FXZ) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Technology AlphaDEX® Fund (FXL) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Utilities AlphaDEX® Fund (FXU) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
| Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Portfolio of Investments
July 31, 2023
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ollie’s Bargain Outlet Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| BJ’s Wholesale Club Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Consumer Services | |
| Bright Horizons Family Solutions, Inc. (a) | |
| Grand Canyon Education, Inc. (a) | |
| | |
| | |
| Live Nation Entertainment, Inc. (a) | |
| | |
| | |
|
| Entertainment (Continued) | |
| Playtika Holding Corp. (a) | |
| ROBLOX Corp., Class A (a) | |
| Spotify Technology S.A. (a) | |
| Walt Disney (The) Co. (a) | |
| World Wrestling Entertainment, Inc., Class A | |
| | |
| | |
| Avis Budget Group, Inc. (a) | |
| Hertz Global Holdings, Inc. (a) | |
| | |
| Uber Technologies, Inc. (a) | |
| | |
| Hotels, Restaurants & Leisure | |
| Airbnb, Inc., Class A (a) | |
| Booking Holdings, Inc. (a) | |
| | |
| Caesars Entertainment, Inc. (a) | |
| Chipotle Mexican Grill, Inc. (a) | |
| Choice Hotels International, Inc. | |
| | |
| | |
| DraftKings, Inc., Class A (a) | |
| | |
| Hilton Worldwide Holdings, Inc. | |
| Hyatt Hotels Corp., Class A | |
| Las Vegas Sands Corp. (a) | |
| Marriott International, Inc., Class A | |
| Marriott Vacations Worldwide Corp. | |
| MGM Resorts International | |
| Norwegian Cruise Line Holdings Ltd. (a) | |
| Penn Entertainment, Inc. (a) | |
| Royal Caribbean Cruises Ltd. (a) | |
| | |
| | |
| | |
| | |
| | |
| Wyndham Hotels & Resorts, Inc. | |
| | |
| | |
| Household Durables — 8.6% | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Household Durables (Continued) | |
| | |
| | |
| Tempur Sealy International, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Interpublic Group of (The) Cos., Inc. | |
| Liberty Media Corp.-Liberty SiriusXM (a) | |
| New York Times (The) Co., Class A | |
| | |
| Nexstar Media Group, Inc. | |
| | |
| Sirius XM Holdings, Inc. (b) | |
| Trade Desk (The), Inc., Class A (a) | |
| | |
| Passenger Airlines — 3.8% | |
| Alaska Air Group, Inc. (a) | |
| American Airlines Group, Inc. (a) | |
| | |
| | |
| United Airlines Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Dick’s Sporting Goods, Inc. | |
| | |
| Floor & Decor Holdings, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| O’Reilly Automotive, Inc. (a) | |
| | |
|
| Specialty Retail (Continued) | |
| Penske Automotive Group, Inc. | |
| Petco Health & Wellness Co., Inc. (a) | |
| | |
| | |
| | |
| | |
| Victoria’s Secret & Co. (a) | |
| Wayfair, Inc., Class A (a) | |
| | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| | |
| | |
| | |
| Deckers Outdoor Corp. (a) | |
| Lululemon Athletica, Inc. (a) | |
| | |
| | |
| Skechers U.S.A., Inc., Class A (a) | |
| | |
| Under Armour, Inc., Class A (a) | |
| | |
| | |
| SiteOne Landscape Supply, Inc. (a) | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | |
| | |
| | |
See Notes to Financial Statements
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
REPURCHASE AGREEMENTS — 0.3% |
| BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $3,966,960. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $4,045,799. (d) | |
| | |
|
|
| Total Investments — 100.3% | |
| | |
| Net Other Assets and Liabilities — (0.3)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $4,242,777 and the total value of the collateral held by the Fund is $4,367,564. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Consumer Staples AlphaDEX® Fund (FXG)
Portfolio of Investments
July 31, 2023
| | |
|
| | |
| Celsius Holdings, Inc. (a) | |
| | |
| Constellation Brands, Inc., Class A | |
| | |
| Monster Beverage Corp. (a) | |
| | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| Albertsons Cos., Inc., Class A | |
| Casey’s General Stores, Inc. | |
| Grocery Outlet Holding Corp. (a) | |
| | |
| Performance Food Group Co. (a) | |
| | |
| US Foods Holding Corp. (a) | |
| | |
| | |
| Archer-Daniels-Midland Co. | |
| | |
| | |
| | |
| Darling Ingredients, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Lamb Weston Holdings, Inc. | |
| Mondelez International, Inc., Class A | |
| Pilgrim’s Pride Corp. (a) | |
| | |
| Tyson Foods, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| Household Products — 3.9% | |
| Church & Dwight Co., Inc. | |
| | |
|
| Household Products (Continued) | |
| | |
| | |
| Procter & Gamble (The) Co. | |
| | |
| | |
| | |
| Philip Morris International, Inc. | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — 0.0% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Energy AlphaDEX® Fund (FXN)
Portfolio of Investments
July 31, 2023
| | |
|
| Electrical Equipment — 1.7% | |
| ChargePoint Holdings, Inc. (a) (b) | |
| | |
| | |
| Energy Equipment & Services | |
| | |
| | |
| | |
| | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| Antero Resources Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| New Fortress Energy, Inc. | |
| Occidental Petroleum Corp. | |
| | |
| | |
| | |
| | |
| Pioneer Natural Resources Co. | |
| | |
| Southwestern Energy Co. (a) | |
| | |
| | |
| Williams (The) Cos., Inc. | |
| | |
| | |
|
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.2% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 1.4% |
| BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $7,839,323. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $7,995,121. (d) | |
| | |
|
|
| Total Investments — 101.5% | |
| | |
| Net Other Assets and Liabilities — (1.5)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $9,101,175 and the total value of the collateral held by the Fund is $8,630,978. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
See Notes to Financial Statements
First Trust Energy AlphaDEX® Fund (FXN)
Portfolio of Investments (Continued)
July 31, 2023
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 31, 2023, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Financials AlphaDEX® Fund (FXO)
Portfolio of Investments
July 31, 2023
| | |
|
| | |
| | |
| | |
| | |
| | |
| Citizens Financial Group, Inc. | |
| Columbia Banking System, Inc. | |
| | |
| Commerce Bancshares, Inc. | |
| Cullen/Frost Bankers, Inc. | |
| | |
| | |
| | |
| First Citizens BancShares, Inc., Class A | |
| | |
| | |
| Huntington Bancshares, Inc. | |
| | |
| | |
| | |
| New York Community Bancorp, Inc. | |
| Pinnacle Financial Partners, Inc. | |
| PNC Financial Services Group (The), Inc. | |
| | |
| Prosperity Bancshares, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Western Alliance Bancorp (a) | |
| | |
| | |
| | |
| | |
| Affiliated Managers Group, Inc. | |
| Ameriprise Financial, Inc. | |
| Ares Management Corp., Class A | |
| Bank of New York Mellon (The) Corp. | |
| | |
| Carlyle Group (The), Inc. | |
| | |
| | |
| Goldman Sachs Group (The), Inc. | |
| | |
|
| Capital Markets (Continued) | |
| | |
| | |
| Janus Henderson Group PLC | |
| Jefferies Financial Group, Inc. | |
| LPL Financial Holdings, Inc. | |
| | |
| | |
| | |
| Raymond James Financial, Inc. | |
| | |
| | |
| | |
| | |
| T. Rowe Price Group, Inc. | |
| Virtu Financial, Inc., Class A | |
| | |
| | |
| | |
| | |
| Credit Acceptance Corp. (b) | |
| Discover Financial Services | |
| | |
| | |
| | |
| Financial Services — 4.3% | |
| Apollo Global Management, Inc. | |
| | |
| Rocket Cos., Inc., Class A (a) (b) | |
| | |
| | |
| | |
| | |
| American Financial Group, Inc. | |
| American International Group, Inc. | |
| Arch Capital Group Ltd. (b) | |
| Arthur J. Gallagher & Co. | |
| | |
| Axis Capital Holdings Ltd. | |
| Brighthouse Financial, Inc. (b) | |
| | |
| | |
| | |
| Fidelity National Financial, Inc. | |
| First American Financial Corp. | |
| | |
| Hartford Financial Services Group (The), Inc. | |
| Kinsale Capital Group, Inc. | |
| | |
| Marsh & McLennan Cos., Inc. | |
See Notes to Financial Statements
First Trust Financials AlphaDEX® Fund (FXO)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| Old Republic International Corp. | |
| | |
| Principal Financial Group, Inc. | |
| Reinsurance Group of America, Inc. | |
| RenaissanceRe Holdings Ltd. | |
| | |
| Ryan Specialty Holdings, Inc. (b) | |
| Travelers (The) Cos., Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Starwood Property Trust, Inc. | |
| | |
| Professional Services — 0.6% | |
| Broadridge Financial Solutions, Inc. | |
| | |
| | |
MONEY MARKET FUNDS — 0.6% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 4.3% |
| BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $39,061,046. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $39,837,341. (d) | |
| | |
|
|
| Total Investments — 104.8% | |
| | |
| Net Other Assets and Liabilities — (4.8)% | |
| | |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $41,647,544 and the total value of the collateral held by the Fund is $43,005,629. |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Financials AlphaDEX® Fund (FXO)
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Health Care AlphaDEX® Fund (FXH)
Portfolio of Investments
July 31, 2023
| | |
|
| | |
| | |
| Apellis Pharmaceuticals, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Karuna Therapeutics, Inc. (a) | |
| | |
| | |
| Regeneron Pharmaceuticals, Inc. (a) | |
| | |
| Ultragenyx Pharmaceutical, Inc. (a) | |
| United Therapeutics Corp. (a) | |
| Vertex Pharmaceuticals, Inc. (a) | |
| | |
| | |
| | |
| Align Technology, Inc. (a) | |
| | |
| | |
| Edwards Lifesciences Corp. (a) | |
| | |
| Envista Holdings Corp. (a) | |
| Globus Medical, Inc., Class A (a) | |
| | |
| IDEXX Laboratories, Inc. (a) | |
| Inspire Medical Systems, Inc. (a) | |
| Integra LifeSciences Holdings Corp. (a) | |
| Intuitive Surgical, Inc. (a) | |
| | |
| | |
| | |
| | |
| Shockwave Medical, Inc. (a) | |
| | |
| | |
| Zimmer Biomet Holdings, Inc. | |
| | |
| | |
| Acadia Healthcare Co., Inc. (a) | |
| | |
| | |
| | |
| | |
|
| Health Care Providers & Services (Continued) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Laboratory Corp. of America Holdings | |
| Molina Healthcare, Inc. (a) | |
| | |
| | |
| Tenet Healthcare Corp. (a) | |
| | |
| Universal Health Services, Inc., Class B | |
| | |
| | |
| Doximity, Inc., Class A (a) | |
| Veeva Systems, Inc., Class A (a) | |
| | |
| Life Sciences Tools & Services | |
| 10X Genomics, Inc., Class A (a) | |
| Agilent Technologies, Inc. | |
| | |
| | |
| Charles River Laboratories International, Inc. (a) | |
| | |
| | |
| | |
| Maravai LifeSciences Holdings, Inc., Class A (a) | |
| Medpace Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Thermo Fisher Scientific, Inc. | |
| West Pharmaceutical Services, Inc. | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Health Care AlphaDEX® Fund (FXH)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Pharmaceuticals (Continued) | |
| Elanco Animal Health, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.0% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — (0.0)% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 7.3% | |
| Axon Enterprise, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Huntington Ingalls Industries, Inc. | |
| | |
| | |
| Spirit AeroSystems Holdings, Inc., Class A | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| C.H. Robinson Worldwide, Inc. | |
| Expeditors International of Washington, Inc. | |
| | |
| United Parcel Service, Inc., Class B | |
| | |
| | |
| NU Holdings Ltd., Class A (a) | |
| | |
| | |
| Advanced Drainage Systems, Inc. | |
| | |
| Armstrong World Industries, Inc. | |
| Builders FirstSource, Inc. (a) | |
| | |
| | |
| Hayward Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Axalta Coating Systems Ltd. (a) | |
| | |
| | |
| Sherwin-Williams (The) Co. | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| Construction & Engineering | |
| | |
| MDU Resources Group, Inc. | |
| | |
| | |
| WillScot Mobile Mini Holdings Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Capital One Financial Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Graphic Packaging Holding Co. | |
| Packaging Corp. of America | |
| | |
| | |
| | |
| Diversified Consumer Services | |
| | |
| Electrical Equipment — 4.9% | |
| | |
| | |
| | |
| | |
| Rockwell Automation, Inc. | |
| Sensata Technologies Holding PLC | |
| | |
See Notes to Financial Statements
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Electronic Equipment, Instruments & Components | |
| Keysight Technologies, Inc. (a) | |
| | |
| Teledyne Technologies, Inc. (a) | |
| | |
| | |
| | |
| Financial Services — 5.0% | |
| Euronet Worldwide, Inc. (a) | |
| | |
| FleetCor Technologies, Inc. (a) | |
| Mastercard, Inc., Class A | |
| Shift4 Payments, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| J.B. Hunt Transport Services, Inc. | |
| Knight-Swift Transportation Holdings, Inc. | |
| | |
| | |
| Old Dominion Freight Line, Inc. | |
| | |
| | |
| Schneider National, Inc., Class B | |
| | |
| | |
| Household Durables — 1.8% | |
| Mohawk Industries, Inc. (a) | |
| | |
| | |
| Industrial Conglomerates — | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| Allison Transmission Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Illinois Tool Works, Inc. | |
| | |
| Lincoln Electric Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Westinghouse Air Brake Technologies Corp. | |
| | |
| | |
| | |
| | |
| Paper & Forest Products — | |
| | |
| Professional Services — 4.7% | |
| Booz Allen Hamilton Holding Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Trading Companies & Distributors (Continued) | |
| Core & Main, Inc., Class A (a) | |
| | |
| MSC Industrial Direct Co., Inc., Class A | |
| | |
| | |
| | |
| WESCO International, Inc. | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — (0.0)% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Materials AlphaDEX® Fund (FXZ)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 0.7% | |
| | |
| | |
| Air Products and Chemicals, Inc. | |
| | |
| | |
| | |
| CF Industries Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| International Flavors & Fragrances, Inc. | |
| | |
| LyondellBasell Industries N.V., Class A | |
| | |
| | |
| | |
| Scotts Miracle-Gro (The) Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cleveland-Cliffs, Inc. (a) | |
| | |
| | |
| | |
| | |
| Reliance Steel & Aluminum Co. | |
| | |
| | |
| | |
| | |
| United States Steel Corp. | |
| | |
| | |
|
| | |
| | |
| Univar Solutions, Inc. (a) | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.1% | |
| | |
| Net Other Assets and Liabilities — (0.1)% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Technology AlphaDEX® Fund (FXL)
Portfolio of Investments
July 31, 2023
| | |
|
| | |
| | |
| Electrical Equipment — 1.7% | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| Arrow Electronics, Inc. (a) | |
| | |
| | |
| | |
| | |
| National Instruments Corp. | |
| | |
| | |
| Financial Services — 1.6% | |
| | |
| Hotels, Restaurants & Leisure | |
| DoorDash, Inc., Class A (a) | |
| Interactive Media & Services | |
| Alphabet, Inc., Class A (a) | |
| Meta Platforms, Inc., Class A (a) | |
| Pinterest, Inc., Class A (a) | |
| | |
| | |
| Akamai Technologies, Inc. (a) | |
| | |
| Cloudflare, Inc., Class A (a) | |
| Cognizant Technology Solutions Corp., Class A | |
| | |
| | |
| | |
| | |
| Snowflake, Inc., Class A (a) | |
| Twilio, Inc., Class A (a) | |
| | |
| | |
| Professional Services — 6.5% | |
| CACI International, Inc., Class A (a) | |
| Ceridian HCM Holding, Inc. (a) | |
| | |
| Dun & Bradstreet Holdings, Inc. | |
| | |
| | |
| | |
|
| Professional Services (Continued) | |
| | |
| Science Applications International Corp. | |
| SS&C Technologies Holdings, Inc. | |
| | |
| Semiconductors & Semiconductor Equipment | |
| Advanced Micro Devices, Inc. (a) | |
| Allegro MicroSystems, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| GLOBALFOUNDRIES, Inc. (a) (b) | |
| | |
| | |
| | |
| Lattice Semiconductor Corp. (a) | |
| Microchip Technology, Inc. | |
| Monolithic Power Systems, Inc. | |
| | |
| ON Semiconductor Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| AppLovin Corp., Class A (a) | |
| Bentley Systems, Inc., Class B | |
| Cadence Design Systems, Inc. (a) | |
| Confluent, Inc., Class A (a) | |
| Crowdstrike Holdings, Inc., Class A (a) | |
| Datadog, Inc., Class A (a) | |
| Dolby Laboratories, Inc., Class A | |
| DoubleVerify Holdings, Inc. (a) | |
| Dropbox, Inc., Class A (a) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Technology AlphaDEX® Fund (FXL)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| | |
| Gitlab, Inc., Class A (a) | |
| | |
| | |
| Manhattan Associates, Inc. (a) | |
| | |
| | |
| | |
| | |
| Nutanix, Inc., Class A (a) | |
| | |
| Palantir Technologies, Inc., Class A (a) | |
| Palo Alto Networks, Inc. (a) | |
| Procore Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Tyler Technologies, Inc. (a) | |
| | |
| VMware, Inc., Class A (a) | |
| Workday, Inc., Class A (a) | |
| | |
| | |
| Technology Hardware, Storage | |
| | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| Pure Storage, Inc., Class A (a) | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (c) | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 0.6% |
| BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $7,587,979. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $7,738,781. (d) | |
| | |
|
|
| Total Investments — 100.7% | |
| | |
| Net Other Assets and Liabilities — (0.7)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $8,304,412 and the total value of the collateral held by the Fund is $8,354,251. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Technology AlphaDEX® Fund (FXL)
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
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| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
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Total gross amount presented on the Statements of Assets and Liabilities(3) | |
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| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Utilities AlphaDEX® Fund (FXU)
Portfolio of Investments
July 31, 2023
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| Electric Utilities — 49.1% | |
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| American Electric Power Co., Inc. | |
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| Hawaiian Electric Industries, Inc. | |
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| Pinnacle West Capital Corp. | |
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| Electrical Equipment — 3.5% | |
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| Independent Power and Renewable Electricity | |
| Brookfield Renewable Corp., Class A | |
| Clearway Energy, Inc., Class C | |
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| Consolidated Edison, Inc. | |
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| Multi-Utilities (Continued) | |
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| Public Service Enterprise Group, Inc. | |
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| Essential Utilities, Inc. | |
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MONEY MARKET FUNDS — 0.1% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
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| Total Investments — 100.0% | |
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| Net Other Assets and Liabilities — (0.0)% | |
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| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
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| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Assets and Liabilities
July 31, 2023
| First Trust Consumer Discretionary AlphaDEX® Fund
(FXD) | First Trust Consumer Staples AlphaDEX® Fund
(FXG) | First Trust Energy AlphaDEX® Fund
(FXN) |
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Securities lending income | | | |
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Investment securities sold | | | |
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Investment securities purchased | | | |
Collateral for securities on loan | | | |
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Shareholder reporting fees | | | |
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Accumulated distributable earnings (loss) | | | |
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NET ASSET VALUE, per share | | | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | | | |
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Securities on loan, at value | | | |
See Notes to Financial Statements
First Trust Financials AlphaDEX® Fund
(FXO) | First Trust Health Care AlphaDEX® Fund
(FXH) | First Trust Industrials/Producer Durables AlphaDEX® Fund
(FXR) | First Trust Materials AlphaDEX® Fund
(FXZ) | First Trust Technology AlphaDEX® Fund
(FXL) | First Trust Utilities AlphaDEX® Fund
(FXU) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Operations
For the Year Ended July 31, 2023
| First Trust Consumer Discretionary AlphaDEX® Fund
(FXD) | First Trust Consumer Staples AlphaDEX® Fund
(FXG) | First Trust Energy AlphaDEX® Fund
(FXN) |
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Securities lending income (net of fees) | | | |
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Accounting and administration fees | | | |
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Shareholder reporting fees | | | |
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Trustees’ fees and expenses | | | |
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NET INVESTMENT INCOME (LOSS) | | | |
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NET REALIZED AND UNREALIZED GAIN (LOSS): | | | |
Net realized gain (loss) on: | | | |
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Net change in unrealized appreciation (depreciation) on investments | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | |
See Notes to Financial Statements
First Trust Financials AlphaDEX® Fund
(FXO) | First Trust Health Care AlphaDEX® Fund
(FXH) | First Trust Industrials/Producer Durables AlphaDEX® Fund
(FXR) | First Trust Materials AlphaDEX® Fund
(FXZ) | First Trust Technology AlphaDEX® Fund
(FXL) | First Trust Utilities AlphaDEX® Fund
(FXU) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Changes in Net Assets
| First Trust Consumer Discretionary AlphaDEX® Fund (FXD) | First Trust Consumer Staples AlphaDEX® Fund (FXG) |
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Net investment income (loss) | | | | |
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Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
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DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
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SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
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Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
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CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
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Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Energy AlphaDEX® Fund (FXN) | First Trust Financials AlphaDEX® Fund (FXO) | First Trust Health Care AlphaDEX® Fund (FXH) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Statements of Changes in Net Assets (Continued)
| First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) | First Trust Materials AlphaDEX® Fund (FXZ) |
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Net investment income (loss) | | | | |
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Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
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DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
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SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
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Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
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CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
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Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Technology AlphaDEX® Fund (FXL) | First Trust Utilities AlphaDEX® Fund (FXU) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights
For a share outstanding throughout each period
First Trust Consumer Discretionary AlphaDEX® Fund (FXD)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Consumer Staples AlphaDEX® Fund (FXG)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Energy AlphaDEX® Fund (FXN)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (d) | | | | | |
| Based on average shares outstanding. |
| The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Financials AlphaDEX® Fund (FXO)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Health Care AlphaDEX® Fund (FXH)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Materials AlphaDEX® Fund (FXZ)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (d) | | | | | |
| Based on average shares outstanding. |
| The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Technology AlphaDEX® Fund (FXL)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Utilities AlphaDEX® Fund (FXU)
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
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Net asset value, end of period | | | | | |
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Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
1. Organization
First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the nine Sector Funds (each a “Fund” and collectively, the “Funds”) listed below. The shares of each Sector Fund are listed and traded on NYSE Arca, Inc.
First Trust Consumer Discretionary AlphaDEX® Fund – (ticker “FXD”) |
First Trust Consumer Staples AlphaDEX® Fund – (ticker “FXG”) |
First Trust Energy AlphaDEX® Fund – (ticker “FXN”) |
First Trust Financials AlphaDEX® Fund – (ticker “FXO”) |
First Trust Health Care AlphaDEX® Fund – (ticker “FXH”) |
First Trust Industrials/Producer Durables AlphaDEX® Fund – (ticker “FXR”) |
First Trust Materials AlphaDEX® Fund – (ticker “FXZ”) |
First Trust Technology AlphaDEX® Fund – (ticker “FXL”) |
First Trust Utilities AlphaDEX® Fund – (ticker “FXU”) |
Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.” The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of the following indices:
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First Trust Consumer Discretionary AlphaDEX® Fund | StrataQuant® Consumer Discretionary Index(1) |
First Trust Consumer Staples AlphaDEX® Fund | StrataQuant® Consumer Staples Index(1) |
First Trust Energy AlphaDEX® Fund | StrataQuant® Energy Index(1) |
First Trust Financials AlphaDEX® Fund | StrataQuant® Financials Index(1) |
First Trust Health Care AlphaDEX® Fund | StrataQuant® Health Care Index(1) |
First Trust Industrials/Producer Durables AlphaDEX® Fund | StrataQuant® Industrials Index(1) |
First Trust Materials AlphaDEX® Fund | StrataQuant® Materials Index(1) |
First Trust Technology AlphaDEX® Fund | StrataQuant® Technology Index(1) |
First Trust Utilities AlphaDEX® Fund | StrataQuant® Utilities Index(1) |
| This index is developed, maintained and sponsored by ICE Data Indices, LLC or its affiliates (“IDI”), and licensed to First Trust Portfolios L.P. (“FTP”), the distributor of the Trust, by IDI. IDI is a successor-in-interest to previous entities that maintained the index in NYSE Group, Inc. and American Stock Exchange LLC. |
2. Significant Accounting Policies
The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:
Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.
Shares of open-end funds are valued based on NAV per share.
Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.
Overnight repurchase agreements are valued at amortized cost when it represents the most appropriate reflection of fair market value.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
1)
the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;
3)
the size of the holding;
4)
the initial cost of the security;
5)
transactions in comparable securities;
6)
price quotes from dealers and/or third-party pricing services;
7)
relationships among various securities;
8)
information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
9)
an analysis of the issuer’s financial statements;
10)
the existence of merger proposals or tender offers that might affect the value of the security; and
11)
other relevant factors.
In addition, differences between the prices used to calculate a Fund’s NAV and the prices used by such Fund’s corresponding index could result in a difference between a Fund’s performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of July 31, 2023, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund’s understanding of the applicable country’s tax rules and rates.
Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs’ fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.
C. Offsetting on the Statements of Assets and Liabilities
Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund’s Portfolio of Investments under the heading “Offsetting Assets and Liabilities.” For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements (“MNAs”) or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral.
D. Securities Lending
The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund’s loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds.
Under the Funds’ Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. (“BBH”) acts as the Funds’ securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2023, only FXD, FXN, FXO, and FXL had securities in the securities lending program. During the fiscal year ended July 31, 2023, all the Funds participated in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH to exercise these remedies, a Fund sustains losses as a result of a borrower’s default, BBH will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH.
E. Repurchase Agreements
Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund’s portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with the delay and enforcement of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2023, were received as collateral for lending securities.
F. Dividends and Distributions to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. A Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2023 was as follows:
| Distributions
paid from
Ordinary
Income | Distributions
paid from
Capital
Gains | Distributions
paid from
Return of
Capital |
First Trust Consumer Discretionary AlphaDEX® Fund | | | |
First Trust Consumer Staples AlphaDEX® Fund | | | |
First Trust Energy AlphaDEX® Fund | | | |
First Trust Financials AlphaDEX® Fund | | | |
First Trust Health Care AlphaDEX® Fund | | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | | |
First Trust Materials AlphaDEX® Fund | | | |
First Trust Technology AlphaDEX® Fund | | | |
First Trust Utilities AlphaDEX® Fund | | | |
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2022 was as follows:
| Distributions
paid from
Ordinary
Income | Distributions
paid from
Capital
Gains | Distributions
paid from
Return of
Capital |
First Trust Consumer Discretionary AlphaDEX® Fund | | | |
First Trust Consumer Staples AlphaDEX® Fund | | | |
First Trust Energy AlphaDEX® Fund | | | |
First Trust Financials AlphaDEX® Fund | | | |
First Trust Health Care AlphaDEX® Fund | | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | | |
First Trust Materials AlphaDEX® Fund | | | |
First Trust Technology AlphaDEX® Fund | | | |
First Trust Utilities AlphaDEX® Fund | | | |
As of July 31, 2023, the components of distributable earnings on a tax basis for each Fund were as follows:
| Undistributed
Ordinary
Income | Accumulated
Capital and
Other
Gain (Loss) | Net
Unrealized
Appreciation
(Depreciation) |
First Trust Consumer Discretionary AlphaDEX® Fund | | | |
First Trust Consumer Staples AlphaDEX® Fund | | | |
First Trust Energy AlphaDEX® Fund | | | |
First Trust Financials AlphaDEX® Fund | | | |
First Trust Health Care AlphaDEX® Fund | | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | | |
First Trust Materials AlphaDEX® Fund | | | |
First Trust Technology AlphaDEX® Fund | | | |
First Trust Utilities AlphaDEX® Fund | | | |
G. Income Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2020, 2021, 2022, and 2023 remain open to federal and state audit. As of July 31, 2023, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2023, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.
| Non-Expiring
Capital Loss
Carryforwards |
First Trust Consumer Discretionary AlphaDEX® Fund | |
First Trust Consumer Staples AlphaDEX® Fund | |
First Trust Energy AlphaDEX® Fund | |
First Trust Financials AlphaDEX® Fund | |
First Trust Health Care AlphaDEX® Fund | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | |
First Trust Materials AlphaDEX® Fund | |
First Trust Technology AlphaDEX® Fund | |
First Trust Utilities AlphaDEX® Fund | |
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2023, the Funds had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2023, the adjustments for each Fund were as follows:
| Accumulated
Net Investment
Income (Loss) | Accumulated
Net Realized
Gain (Loss)
on Investments | |
First Trust Consumer Discretionary AlphaDEX® Fund | | | |
First Trust Consumer Staples AlphaDEX® Fund | | | |
First Trust Energy AlphaDEX® Fund | | | |
First Trust Financials AlphaDEX® Fund | | | |
First Trust Health Care AlphaDEX® Fund | | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | | |
First Trust Materials AlphaDEX® Fund | | | |
First Trust Technology AlphaDEX® Fund | | | |
First Trust Utilities AlphaDEX® Fund | | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
As of July 31, 2023, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
(Depreciation) | Net Unrealized
Appreciation
(Depreciation) |
First Trust Consumer Discretionary AlphaDEX® Fund | | | | |
First Trust Consumer Staples AlphaDEX® Fund | | | | |
First Trust Energy AlphaDEX® Fund | | | | |
First Trust Financials AlphaDEX® Fund | | | | |
First Trust Health Care AlphaDEX® Fund | | | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | | | |
First Trust Materials AlphaDEX® Fund | | | | |
First Trust Technology AlphaDEX® Fund | | | | |
First Trust Utilities AlphaDEX® Fund | | | | |
H. Expenses
Expenses that are directly related to one of the Funds are charged directly to the respective Fund. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund.
FTP has entered into licensing agreements with IDI for each of the Funds. The license agreements allow for the use by FTP of certain trademarks and trade names of IDI. The Funds and First Trust are sub-licensees to the license agreement. The Funds are required to pay licensing fees, which are shown on the Statements of Operations.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.
Effective November 1, 2022, the management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the schedule below:
| |
Fund net assets up to and including $2.5 billion | |
Fund net assets greater than $2.5 billion up to and including $5 billion | |
Fund net assets greater than $5 billion up to and including $7.5 billion | |
Fund net assets greater than $7.5 billion up to and including $10 billion | |
Fund net assets greater than $10 billion up to and including $15 billion | |
Fund net assets greater than $15 billion | |
Prior to November 1, 2022, First Trust was paid an annual management fee of 0.50% of each Fund’s average daily net assets.
The Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement (“Recovery Agreement”) in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the “Expense Cap”). The Expense Cap will be in effect until at least November 30, 2024. For the fiscal year ended July 31, 2023, there were no fees waived or expenses reimbursed by First Trust for these Funds.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
Prior to November 1, 2022, expenses reimbursed and fees waived by First Trust under the Recovery Agreement were subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by a Fund if it resulted in the Fund’s expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in “Expenses previously waived or reimbursed” on the Statements of Operations. Effective November 1, 2022, in connection with the introduction of breakpoints discussed above, First Trust has agreed to remove its ability to recover previous expenses borne and fees waived under the Recovery Agreement.
The Trust has multiple service agreements with The Bank of New York Mellon (“BNYM”). Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund’s assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2023, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
| | |
First Trust Consumer Discretionary AlphaDEX® Fund | | |
First Trust Consumer Staples AlphaDEX® Fund | | |
First Trust Energy AlphaDEX® Fund | | |
First Trust Financials AlphaDEX® Fund | | |
First Trust Health Care AlphaDEX® Fund | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | |
First Trust Materials AlphaDEX® Fund | | |
First Trust Technology AlphaDEX® Fund | | |
First Trust Utilities AlphaDEX® Fund | | |
For the fiscal year ended July 31, 2023, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
| | |
First Trust Consumer Discretionary AlphaDEX® Fund | | |
First Trust Consumer Staples AlphaDEX® Fund | | |
First Trust Energy AlphaDEX® Fund | | |
First Trust Financials AlphaDEX® Fund | | |
First Trust Health Care AlphaDEX® Fund | | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | | |
First Trust Materials AlphaDEX® Fund | | |
First Trust Technology AlphaDEX® Fund | | |
First Trust Utilities AlphaDEX® Fund | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023
5. Creations, Redemptions and Transaction Fees
Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as “Creation Units.” Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation (“NSCC”) the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process:the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
6. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2024.
7. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of First Trust Consumer Discretionary AlphaDEX® Fund, First Trust Consumer Staples AlphaDEX® Fund, First Trust Energy AlphaDEX® Fund, First Trust Financials AlphaDEX® Fund, First Trust Health Care AlphaDEX® Fund, First Trust Industrials/Producer Durables AlphaDEX® Fund, First Trust Materials AlphaDEX® Fund, First Trust Technology AlphaDEX® Fund, and First Trust Utilities AlphaDEX® Fund (the “Funds”), each a series of the First Trust Exchange-Traded AlphaDEX® Fund, including the portfolios of investments, as of July 31, 2023, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2023, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Chicago, Illinois
September 22, 2023
We have served as the auditor of one or more First Trust investment companies since 2001.
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund’s website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Portfolio Holdings
Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC’s website at www.sec.gov. Each Fund’s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund’s Forms N-PORT and Forms N-CSR are available on the SEC’s website listed above.
Federal Tax Information
For the taxable year ended July 31, 2023, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
| Dividends Received
Deduction |
First Trust Consumer Discretionary AlphaDEX® Fund | |
First Trust Consumer Staples AlphaDEX® Fund | |
First Trust Energy AlphaDEX® Fund | |
First Trust Financials AlphaDEX® Fund | |
First Trust Health Care AlphaDEX® Fund | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | |
First Trust Materials AlphaDEX® Fund | |
First Trust Technology AlphaDEX® Fund | |
First Trust Utilities AlphaDEX® Fund | |
For the taxable year ended July 31, 2023, the following percentages of income dividend paid by the Funds are hereby designated as qualified dividend income:
| |
First Trust Consumer Discretionary AlphaDEX® Fund | |
First Trust Consumer Staples AlphaDEX® Fund | |
First Trust Energy AlphaDEX® Fund | |
First Trust Financials AlphaDEX® Fund | |
First Trust Health Care AlphaDEX® Fund | |
First Trust Industrials/Producer Durables AlphaDEX® Fund | |
First Trust Materials AlphaDEX® Fund | |
First Trust Technology AlphaDEX® Fund | |
First Trust Utilities AlphaDEX® Fund | |
A portion of each of the Funds’ 2023 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2023, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
Risk Considerations
Risks are inherent in all investing. Certain general risks that may be applicable to a Fund are identified below, but not all of the material risks relevant to each Fund are included in this report and not all of the risks below apply to each Fund. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information and other regulatory filings. Before investing, you should consider each Fund’s investment objective, risks, charges and expenses, and read each Fund’s prospectus and statement of additional information carefully. You can download each Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund.
Concentration Risk. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund’s investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund’s corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified.
Credit Risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments.
Cyber Security Risk. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches.
Defined Outcome Funds Risk. To the extent a fund’s investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor’s investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund’s share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless.
Derivatives Risk. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund’s portfolio managers use derivatives to enhance the fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund.
Equity Securities Risk. To the extent a fund invests in equity securities, the value of the fund’s shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market.
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
ETF Risk. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF’s shares, or decisions by an ETF’s authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF’s shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads.
Fixed Income Securities Risk. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund’s fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund’s fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities.
Index or Model Constituent Risk. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund’s net asset value could be negatively impacted and the fund’s market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund’s shares.
Index Provider Risk. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund’s costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders.
Investment Companies Risk. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund’s investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests.
LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate (“SOFR”) will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.
Management Risk. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund’s investment portfolio, the fund’s portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective.
Market Risk. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions,
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed “reasonably” normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of a fund’s portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could have a materially negative impact on the value of a fund’s shares and result in increased market volatility. During any such events, a fund’s shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on a fund’s shares may widen.
Non-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to:possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries.
Operational Risk. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund’s ability to meet its investment objective. Although the funds and the funds’ investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.
Passive Investment Risk. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets.
Preferred Securities Risk. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company’s capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock.
Valuation Risk. The valuation of certain securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. A fund may hold investments in sizes smaller than institutionally sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If a fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the fund.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
Remuneration
First Trust Advisors L.P. (“First Trust”) is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX® Fund funds it manages (the “Funds”) in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the “Directive”). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust’s interpretation of currently available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2022, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $4,970,466. This figure is comprised of $192,688 paid (or to be paid) in fixed compensation and $4,777,778 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $2,621,438 paid (or to be paid) to senior management of First Trust Advisors L.P. and $2,349,028 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, “Code Staff”).
Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust’s remuneration policy (the “Remuneration Policy”) which is determined and implemented by First Trust’s senior management. The Remuneration Policy reflects First Trust’s ethos of good governance and encapsulates the following principal objectives:
i.
to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure;
ii.
to promote sound and effective risk management consistent with the risk profiles of the funds managed by First Trust; and
iii.
to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the funds managed by First Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Advisory Agreement
Board Considerations Regarding Approval of the Continuation of the Investment Management Agreement
The Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of the following series of the Trust (each a “Fund” and collectively, the “Funds”):
First Trust Consumer Discretionary AlphaDEX® Fund (FXD) |
First Trust Consumer Staples AlphaDEX® Fund (FXG) |
First Trust Energy AlphaDEX® Fund (FXN) |
First Trust Financials AlphaDEX® Fund (FXO) |
First Trust Health Care AlphaDEX® Fund (FXH) |
First Trust Industrials/Producer Durables AlphaDEX® Fund (FXR) |
First Trust Materials AlphaDEX® Fund (FXZ) |
First Trust Technology AlphaDEX® Fund (FXL) |
First Trust Utilities AlphaDEX® Fund (FXU) |
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2024 at a meeting held on June 4–5, 2023. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 17, 2023 and June 4–5, 2023, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined:the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 17, 2023, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 4–5, 2023 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreement, the Board had received sufficient information to renew the Agreement. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund’s advisory fee.
In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 17, 2023 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreement have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions.
The Board considered the advisory fee rate schedule payable by each Fund under the Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Fund through November 30, 2024. The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund’s Expense Group included peer funds that pay a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 17, 2023 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory fee rate schedules overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund’s performance. The Board received and reviewed information for periods ended December 31, 2022 regarding the performance of each Fund’s underlying index, the correlation between each Fund’s performance and that of its underlying index, each Fund’s tracking difference and each Fund’s excess return as compared to its benchmark index. The Board considered the Advisor’s explanations of how the AlphaDEX® stock selection methodology impacts Fund performance in various market environments, and the Advisor’s statement that AlphaDEX® is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund’s performance to that of its respective Performance Universe and to that of a broad-based benchmark index and noted the Advisor’s discussion of FXN’s performance at the April 17, 2023 meeting. However, given each Fund’s objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference.
On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreement.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the advisory fee rate schedule for each Fund includes breakpoints pursuant to which the advisory fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. The Board concluded that the advisory fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2022 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreement continue to be fair and reasonable and that the continuation of the Agreement is in the best interests of each Fund. No single factor was determinative in the Board’s analysis.
Liquidity Risk Management Program
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the “Program”) reasonably designed to assess and manage the funds’ liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the “Advisor”) as the person designated to administer the
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
July 31, 2023 (Unaudited)
Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the “Liquidity Committee”).
Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund’s portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds’ holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund’s net assets and establishes policies and procedures regarding redemptions in kind.
At the April 17, 2023 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 17, 2022 through the Liquidity Committee’s annual meeting held on March 23, 2023 and assessed the Program’s adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums.
As stated in the written report, during the review period, two funds breached the 15% limitation on illiquid investments for one day each, as a result of an unscheduled week-long closure of the stock exchange in Istanbul following devastating earthquakes in February, causing all Turkish equities to be re-classified as “illiquid” for one day. Each fund filed a Form N-RN on the day after the breach occurred, and one day later after the breach was cured. No fund with a highly liquid investment minimum breached that minimum during the reporting period. The Advisor concluded that each fund’s investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
Board of Trustees
Effective September 10, 2023, the exchange-traded funds, closed-end funds, mutual funds and variable insurance funds (collectively, the “Funds”) advised by First Trust Advisors L.P. (“FTA”) announced the appointment of Ms. Bronwyn Wright as a Trustee of all Funds except the exchange-traded funds included in the First Trust Exchange-Traded Fund and the First Trust Dynamic Europe Equity Income Fund, a closed-end fund. Ms. Wright has acted as an independent director to a number of Irish collective investment funds since 2009. Ms. Wright is a former Managing Director of Citibank Europe plc and Head of Securities and Fund Services for Citi Ireland. In these positions, she was responsible for the management and strategic direction of Citi Ireland's securities and fund services business which included funds, custody, security finance/lending and global agency and trust. She also had responsibility for leading, managing and growing the Trustee, Custodian and Depositary business in Ireland, the United Kingdom, Luxembourg, Jersey and Cayman.
Board of Trustees and Officers
First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)
The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.
The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
Name,
Year of Birth and
Position with the Trust | Term of Office
and Year First
Elected or
Appointed | Principal Occupations
During Past 5 Years | Number of
Portfolios in
the First Trust
Fund Complex
Overseen by
Trustee | Other
Trusteeships or
Directorships
Held by Trustee
During Past
5 Years |
|
Richard E. Erickson, Trustee
(1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | | |
Thomas R. Kadlec, Trustee
(1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee
(1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee
(1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee
(1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | | |
|
James A. Bowen(1), Trustee,
Chairman of the Board
(1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | | |
(1)
Mr. Bowen is deemed an “interested person” of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust.
Board of Trustees and Officers (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)
| Position and
Offices
with Trust | Term of Office
and Length of
Service | Principal Occupations
During Past 5 Years |
|
| President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
| Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 - present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
| Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist
(1970) | | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2)
The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.
First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)
Privacy Policy
First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.
Sources of Information
We collect nonpublic personal information about you from the following sources:
• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;
• Information about your transactions with us, our affiliates or others;
• Information we receive from your inquiries by mail, e-mail or telephone; and
• Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits.
Information Collected
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.
Disclosure of Information
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:
• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.
• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.
Use of Website Analytics
We currently use third party analytics tools, Google Analytics and AddThis, to gather information for purposes of improving First Trust’s website and marketing our products and services to you. These tools employ cookies, which are small pieces of text stored in a file by your web browser and sent to websites that you visit, to collect information, track website usage and viewing trends such as the number of hits, pages visited, videos and PDFs viewed and the length of user sessions in order to evaluate website performance and enhance navigation of the website. We may also collect other anonymous information, which is generally limited to technical and web navigation information such as the IP address of your device, internet browser type and operating system for purposes of analyzing the data to make First Trust’s website better and more useful to our users. The information collected does not include any personal identifiable information such as your name, address, phone number or email address unless you provide that information through the website for us to contact you in order to answer your questions or respond to your requests. To find out how to opt-out of these services click on:Google Analytics and AddThis.
Confidentiality and Security
With regard to our internal security procedures, First Trust restricts access to your nonpublic personal information to those First Trust employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal information.
Policy Updates and Inquiries
As required by federal law, we will notify you of our privacy policy annually. We reserve the right to modify this policy at any time, however, if we do change it, we will tell you promptly. For questions about our policy, or for additional copies of this notice, please go to www.ftportfolios.com, or contact us at 1-800-621-1675 (First Trust Portfolios) or 1-800-222-6822 (First Trust Advisors).
March 2023
First Trust Exchange-Traded AlphaDEX® Fund
Sector Funds
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 South Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
First Trust Exchange-Traded AlphaDEX® Fund
AlphaDEX® Style Funds
First Trust Large Cap Core AlphaDEX® Fund (FEX) |
First Trust Mid Cap Core AlphaDEX® Fund (FNX) |
First Trust Small Cap Core AlphaDEX® Fund (FYX) |
First Trust Large Cap Value AlphaDEX® Fund (FTA) |
First Trust Large Cap Growth AlphaDEX® Fund (FTC) |
First Trust Multi Cap Value AlphaDEX® Fund (FAB) |
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) |
First Trust Mid Cap Value AlphaDEX® Fund (FNK) |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
First Trust Small Cap Value AlphaDEX® Fund (FYT) |
First Trust Small Cap Growth AlphaDEX® Fund (FYC) |
AlphaDEX® is a registered trademark of First Trust Portfolios L.P.
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Annual Report
July 31, 2023
Caution Regarding Forward-Looking Statements
This report contains certain forward-looking statements within the meaning of the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended. Forward-looking statements include statements regarding the goals, beliefs, plans or current expectations of First Trust Advisors L.P. (“First Trust” or the “Advisor”) and its representatives, taking into account the information currently available to them. Forward-looking statements include all statements that do not relate solely to current or historical fact. For example, forward-looking statements include the use of words such as “anticipate,” “estimate,” “intend,” “expect,” “believe,” “plan,” “may,” “should,” “would” or other words that convey uncertainty of future events or outcomes.
Forward-looking statements involve known and unknown risks, uncertainties and other factors that may cause the actual results, performance or achievements of any series of First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”) described in this report (each such series is referred to as a “Fund” and collectively, as the “Funds”) to be materially different from any future results, performance or achievements expressed or implied by the forward-looking statements. When evaluating the information included in this report, you are cautioned not to place undue reliance on these forward-looking statements, which reflect the judgment of the Advisor and its representatives only as of the date hereof. We undertake no obligation to publicly revise or update these forward-looking statements to reflect events and circumstances that arise after the date hereof.
Performance and Risk Disclosure
There is no assurance that any Fund described in this report will achieve its investment objective. Each Fund is subject to market risk, which is the possibility that the market values of securities owned by the Fund will decline and that the value of the Fund’s shares may therefore be less than what you paid for them. Accordingly, you can lose money by investing in a Fund. See “Risk Considerations” in the Additional Information section of this report for a discussion of certain other risks of investing in the Funds.
Performance data quoted represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. For the most recent month-end performance figures, please visit www.ftportfolios.com or speak with your financial advisor. Investment returns, net asset value and share price will fluctuate and Fund shares, when sold, may be worth more or less than their original cost.
The Advisor may also periodically provide additional information on Fund performance on each Fund’s webpage at www.ftportfolios.com.
How to Read This Report
This report contains information that may help you evaluate your investment. It includes details about each Fund and presents data and analysis that provide insight into each Fund’s performance and investment approach.
By reading the market overview by Robert F. Carey, Chief Market Strategist of the Advisor, you may obtain an understanding of how the market environment affected the performance of each Fund. The statistical information that follows may help you understand each Fund’s performance compared to that of relevant market benchmarks.
It is important to keep in mind that the opinions expressed by personnel of the Advisor are just that:informed opinions. They should not be considered to be promises or advice. The opinions, like the statistics, cover the period through the date on the cover of this report. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information, and other Fund regulatory filings.
First Trust Exchange-Traded AlphaDEX® Fund
Annual Letter from the Chairman and CEO
July 31, 2023
Dear Shareholders,
First Trust is pleased to provide you with the annual report for the Style Funds of the First Trust Exchange-Traded AlphaDEX® Fund (the “Funds”), which contains detailed information about the Funds for the twelve months ended July 31, 2023.
In a widely unexpected announcement, Fitch Ratings (“Fitch”), a provider of credit ratings, commentary, and research, downgraded the credit rating of the United States government from its highest rating of AAA to its second-highest rating of AA+ on August 1, 2023. The move marks the first time the U.S. government’s credit rating has been downgraded since 2011. Fitch cited the heightened potential of a near-term economic recession in the U.S. as well as the rising interest burden of government debt as two factors that contributed to their decision to implement the downgrade. We will leave it to the pundits to debate whether the downgrade was warranted or not. What we would like to see is a reduction in government spending. As of June 30, 2023, the U.S. government’s deficit stood at $1.39 trillion, already above the 2022 full year deficit of $1.37 trillion, according to Brian Wesbury, Chief Economist at First Trust. As Fitch noted in the press release of its downgrade, the interest burden on U.S. government debt, among other factors, is expected to catapult the general government deficit to 6.3% of gross domestic product (“GDP”) in 2023, up from 3.7% in 2022.
The Federal Reserve (the “Fed”) has made significant progress in its battle with rising prices. Inflation, as measured by the twelve-month trailing rate on the Consumer Price Index (“CPI”), stood at 3.2% on July 31, 2023, down significantly from its most recent high of 9.1% set on June 30, 2022, but up from 3.0% on June 30, 2023. While a reduction in the CPI is welcome, the metric remains well-above the Fed’s goal of 2.0%. Should the CPI remain stubbornly high, it may prompt further increases to the Federal Funds target rate over the coming months, which could hamper economic growth, in our opinion. That said, U.S. GDP has remained resilient, growing over each of the last four quarters (through June 30, 2023).
Whether the U.S. can avoid an economic recession over the coming months remains to be seen. As mentioned above, despite tighter monetary policy, the U.S. economy posted positive changes to GDP over each of the last four quarters. We continue to hope for a “soft landing,” but also keep our eyes fixated on the data.
Thank you for giving First Trust the opportunity to play a role in your financial future. We value our relationship with you and will report on the Funds again in six months.
Sincerely,
James A. Bowen
Chairman of the Board of Trustees
Chief Executive Officer of First Trust Advisors L.P.
First Trust Exchange-Traded AlphaDEX® Fund
Annual Report
July 31, 2023
Robert F. Carey, CFA
Senior Vice President and Chief Market Strategist
First Trust Advisors L.P.
Mr. Carey is responsible for the overall management of research and analysis of the First Trust product line. Mr. Carey has more than 30 years of experience as an Equity and Fixed-Income Analyst and is a recipient of the Chartered Financial Analyst (“CFA”) designation. He is a graduate of the University of Illinois at Champaign-Urbana with a B.S. in Physics. He is also a member of the Investment Analysts Society of Chicago and the CFA Institute. Mr. Carey has appeared as a guest on such programs as Bloomberg TV, CNBC, and WBBM Radio, and has been quoted by several publications, including The Wall Street Journal, The Wall Street Reporter, Bloomberg News Service and Registered Rep.
State of the U.S./Global Economy
A new bull market was ushered in when the S&P 500® Index (the “Index”) closed at 4,293.93 on June 8, 2023, 20.04% above its most recent low of 3,577.03 which occurred on October 12, 2022. Driven by developments in Artificial Intelligence and a myriad of positive economic data, the Index has had an exceptional year so far in 2023. That said, the Federal Reserve (the “Fed”) continues to battle stubbornly high inflation. Inflation, as measured by the 12-month change in the rate of the Consumer Price Index, stood at 3.2% on July 31, 2023, up from 3.0% on June 30, 2023, and 1.2 percentage points higher than the Fed’s 2.0% goal rate for the metric. Suffice it to say, inflation is not just a domestic issue. Ten of the eleven countries that comprise the so-called “Group of Ten” reported headline inflation numbers greater than their target rates in August 2023, with Switzerland being the only outlier. As many investors may know, the Fed has been working on orchestrating a “soft landing” for the U.S. economy, raising interest rates just enough to quell inflation, but not so high as to cause an economic recession. Soft landings have been very difficult to engineer. Since its inception, the Fed has only been able to pull off a soft landing once.
The latest global growth forecast from the International Monetary Fund (“IMF”) released in July 2023 sees real gross domestic product (“GDP”) rising by 3.0% worldwide in 2023, down from 3.5% in 2022. In the U.S., the IMF forecasts real GDP could grow by 1.8% in 2023, down from 2.1% in 2022. The IMF notes that July’s U.S. real GDP figure reflects resilient consumer consumption in the first quarter of the year, a trend they are quick to note is not likely to last. In 2024, the IMF estimates that U.S. real GDP could fall to just 1.0%. Overall, Advanced Economies are projected to register a 1.5% growth rate in 2023, before declining to 1.4% in 2024. Emerging Market and Developing Economies are projected to grow faster than Advanced Economies. The IMF estimates their growth rate to register 4.0% and 4.1% in 2023 and 2024, respectively.
ETFGI, an independent research and consultancy firm, reported that total assets invested in exchange-traded funds (“ETFs”) and related exchange-traded products (“ETPs”) listed globally stood at a record $10.51 trillion on June 30, 2023 (most recent data), according to its own release. Net inflows to ETFs/ETPs listed globally totaled $376.19 billion in the first six months of 2023. June marked the 49th consecutive month of net inflows into the category. Equity ETFs reported $162.77 billion in net inflows year-to-date (“YTD”) through June 30, 2023, significantly lower than the $277.33 billion in net inflows over the same period last year. Fixed income ETFs saw net inflows of $142.01 billion YTD, higher than the $84.47 billion in net inflows over the same period last year.
Style/Equity Investing
For the 12-month period ended July 31, 2023, the Index posted a total return of 13.02%, according to data from Bloomberg. Value stocks significantly outperformed growth stocks over the period. The S&P 500® Value Index posted a total return of 17.16%, compared to 8.00% for the S&P 500® Growth Index. The S&P MidCap 400® Index posted a total return of 10.47% for the same period. The S&P MidCap 400® Value Index posted a total return of 10.96%, compared to 9.81% for the S&P MidCap 400® Growth Index. The S&P SmallCap 600® Index posted a total return of 5.26% over the same period. As was the case with the other two market caps, value stocks outperformed growth stocks. The S&P SmallCap 600® Value Index posted a total return of 6.26% compared to 4.07% for the S&P SmallCap 600® Growth Index over the period.
Fund Performance Overview (Unaudited)
First Trust Large Cap Core AlphaDEX® Fund (FEX)
The First Trust Large Cap Core AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Large Cap Core Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FEX.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large CapTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Large Cap Core | | | | | | | |
Nasdaq US 500 Large CapTM Index(1) | | | | | | | |
| | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a net asset value (“NAV”) return of 8.86% during the period covered by this report. During the same period, the S&P 500® Index (the “Benchmark”) generated a return of 13.02%. During the period covered by this report, the Fund allocated 15.2% to the Financials sector, the largest allocation during the period. The 14.7% allocation to the Industrial sector contributed 2.9% to the Fund’s return, the greatest contribution of any sector. The least contributing sector to the Fund’s return came from the Real Estate sector, which contributed -0.3% during the period.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Core AlphaDEX® Fund (FEX) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Palantir Technologies, Inc., Class A | |
Citizens Financial Group, Inc. | |
| |
| |
| |
Packaging Corp. of America | |
MGM Resorts International | |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
The First Trust Mid Cap Core AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Mid Cap Core Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FNX.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid CapTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Mid Cap Core Index(1) | | | | | | | |
Nasdaq US 600 Mid CapTM Index(1) | | | | | | | |
| | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 10.7% during the period covered by this report. During the same period, the S&P MidCap 400® Index (the “Benchmark”) generated a return of 10.47%. During the period covered by this report, the Industrials sector received the largest allocation within the Fund at a weight of 19.6%. This sector also generated the largest contribution to the Fund’s return at 4.6%. The least contributing sector to the Fund’s return during the period was the Communication Services sector, which generated a -0.7% contribution to the Fund’s return.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Core AlphaDEX® Fund (FNX) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
| |
Super Micro Computer, Inc. | |
Weatherford International PLC | |
| |
New York Community Bancorp, Inc. | |
| |
| |
DISH Network Corp., Class A | |
DraftKings, Inc., Class A | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Core AlphaDEX® Fund (FYX)
The First Trust Small Cap Core AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Small Cap Core Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FYX.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small CapTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Small Cap Core | | | | | | | |
Nasdaq US 700 Small CapTM Index(1) | | | | | | | |
| | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 6.16% during the period covered by this report. During the same period, the S&P SmallCap 600® Index (the “Benchmark”) generated a return of 5.26%. The Fund allocated the greatest weight to the Financials sector. Investments in this sector received an allocation of 20.1%. This sector and the Real Estate sector each contributed -0.9% to the Fund’s return, which were the greatest drags of any sector. The Consumer Discretionary sector generated a 3.1% contribution to the Fund’s return, which was the greatest of any sector.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Core AlphaDEX® Fund (FYX) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Hudson Pacific Properties, Inc. | |
Bread Financial Holdings, Inc. | |
| |
| |
| |
Opendoor Technologies, Inc. | |
Dime Community Bancshares, Inc. | |
Heartland Financial USA, Inc. | |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Value AlphaDEX® Fund (FTA)
The First Trust Large Cap Value AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Large Cap Value Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FTA.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap ValueTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Large Cap Value | | | | | | | |
Nasdaq US 500 Large Cap ValueTM | | | | | | | |
| | | | | | | |
| | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 8.90% during the period covered by this report. During the same period, the S&P 500® Value Index (the “Benchmark”) generated a return of 17.16%. During the period covered by this report, the Fund’s largest allocation was to the Financials sector with a weight of 23.8%. The Industrials sector generated the largest contribution to the Fund’s return at 2.4%. The Fund’s only negative contributing sectors for the period were the Real Estate and Utilities sectors, with each generating a contribution between 0.0% and -0.1% to the Fund’s return.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Value AlphaDEX® Fund (FTA) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Citizens Financial Group, Inc. | |
| |
| |
| |
Packaging Corp. of America | |
| |
| |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
The First Trust Large Cap Growth AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Large Cap Growth Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FTC.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 500 Large Cap GrowthTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Large Cap Growth | | | | | | | |
Nasdaq US 500 Large Cap GrowthTM | | | | | | | |
| | | | | | | |
| | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 8.71% during the period covered by this report. During the same period, the S&P 500® Growth Index (the “Benchmark”) generated a return of 8.00%. During the period covered by this report, the Fund allocated 20.4% to the Information Technology sector, which was the largest sector weight for the Fund, as well as the greatest contribution to the Fund’s return with a 5.0% contribution. The Fund’s allocation to the Real Estate sector was the most negative contributor with a -1.0% contribution to the Fund’s return for the period.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Large Cap Growth AlphaDEX® Fund (FTC) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Palantir Technologies, Inc., Class A | |
MGM Resorts International | |
| |
| |
| |
| |
Marriott International, Inc., Class A | |
| |
| |
Reliance Steel & Aluminum Co. | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
The First Trust Multi Cap Value AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Multi Cap Value Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FAB.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select value stocks from the Nasdaq US 500 Large CapTM Index, Nasdaq US 600 Mid CapTM Index, and Nasdaq US 700 Small CapTM Index (together, the “Nasdaq US Multi Cap Value Index”) that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Multi Cap Value | | | | | | | |
Nasdaq US Multi Cap Value Index(1) | | | | | | | |
S&P Composite 1500® Index | | | | | | | |
S&P Composite 1500® Value Index | | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 9.19% during the period covered by this report. During the same period, the S&P Composite 1500® Value Index (the “Benchmark”) generated a return of 16.51%. During the period covered by this report, the Fund’s greatest sector allocation went to investments in the Financials sector. These investments received an allocation of 24.8%. The Industrials sector contributed 2.8% to the Fund’s return, the greatest of any sector. The Real Estate sector was the largest drag on the Fund, contributing -0.3% to the Fund’s return for the period.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Multi Cap Value AlphaDEX® Fund (FAB) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Citizens Financial Group, Inc. | |
| |
| |
| |
Packaging Corp. of America | |
| |
| |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
The First Trust Multi Cap Growth AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Multi Cap Growth Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FAD.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select growth stocks from the Nasdaq US 500 Large CapTM Index, Nasdaq US 600 Mid CapTM Index and Nasdaq US 700 Small CapTM Index (together the “Nasdaq US Multi Cap Growth Index”) that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(5/8/07)
to 7/31/23 | | | Inception
(5/8/07)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Multi Cap Growth | | | | | | | |
Nasdaq US Multi Cap Growth Index(1) | | | | | | | |
S&P Composite 1500® Index | | | | | | | |
S&P Composite 1500® Growth Index | | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 8.50% during the period covered by this report. During the same period, the S&P Composite 1500® Growth Index (the “Benchmark”) generated a return of 8.05%. The Industrials sector received the greatest allocation during the period, with an average weight of 18.3% and a 3.5% contribution to the Fund’s return. Investments in the Information Technology sector, with an average weight of 17.6%, contributed 3.7% to the Fund’s return, and were the greatest contributor to return of any sector during the period. The Real Estate sector was the greatest driver of negative Fund return, with a contribution of -0.9% to the Fund’s return.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Palantir Technologies, Inc., Class A | |
MGM Resorts International | |
| |
| |
| |
| |
Marriott International, Inc., Class A | |
| |
| |
Reliance Steel & Aluminum Co. | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
The First Trust Mid Cap Value AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Mid Cap Value Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FNK.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap ValueTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/19/11)
to 7/31/23 | | | Inception
(4/19/11)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Mid Cap Value | | | | | | | |
Nasdaq US 600 Mid Cap ValueTM Index(1) | | | | | | | |
S&P MidCap 400® Value Index | | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 11.95% during the period covered by this report. During the same period, the S&P MidCap 400® Value Index (the “Benchmark”) generated a return of 10.96%. The Fund allocated 23.8% to the Financials sector during the period covered by this report, more weight than was given to investments in any other sector. Investments in this sector accounted for a 4.7% contribution to the Fund’s return, the most of any sector. Investments in the Communication Services sector caused a -1.5% drag in the Fund during period, the largest negative contribution to return of any sector.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Value AlphaDEX® Fund (FNK) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
New York Community Bancorp, Inc. | |
| |
| |
DISH Network Corp., Class A | |
| |
| |
PBF Energy, Inc., Class A | |
| |
| |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
The First Trust Mid Cap Growth AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Mid Cap Growth Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FNY.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 600 Mid Cap GrowthTM Index that may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/19/11)
to 7/31/23 | | | Inception
(4/19/11)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Mid Cap Growth | | | | | | | |
Nasdaq US 600 Mid Cap GrowthTM | | | | | | | |
S&P MidCap 400® Growth Index | | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 9.37% during the period covered by this report. During the same period, the S&P MidCap 400® Growth Index (the “Benchmark”) generated a return of 9.81%. During the period covered by this report, the Fund’s greatest allocation was to the Industrials sector, with an average weight of 21.4%. This sector also had the greatest contribution to the Fund’s return with a 5.4% contribution. The Health Care sector contributed -1.5% to the Fund’s return, which was the greatest drag of any sector to the Fund’s return.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Super Micro Computer, Inc. | |
Weatherford International PLC | |
| |
DraftKings, Inc., Class A | |
| |
Lennox International, Inc. | |
Floor & Decor Holdings, Inc., Class A | |
Hyatt Hotels Corp., Class A | |
Axcelis Technologies, Inc. | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Value AlphaDEX® Fund (FYT)
The First Trust Small Cap Value AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Small Cap Value Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks and real estate investment trusts that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FYT.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap ValueTM Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/19/11)
to 7/31/23 | | | Inception
(4/19/11)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Small Cap Value | | | | | | | |
Nasdaq US 700 Small Cap ValueTM | | | | | | | |
S&P SmallCap 600® Value Index | | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 5.61% during the period covered by this report. During the same period, the S&P SmallCap 600® Value Index (the “Benchmark”) generated a return of 6.26%. The Fund allocated the greatest weight to the Financials sector, which received an allocation of 28.7%. The Consumer Discretionary sector generated the largest contribution to the Fund’s return at 4.9%. The least contributing sector to the Fund’s return for the period was the Communication Services sector, which generated a -1.7% contribution.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Value AlphaDEX® Fund (FYT) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
Hudson Pacific Properties, Inc. | |
Bread Financial Holdings, Inc. | |
| |
| |
| |
Dime Community Bancshares, Inc. | |
Heartland Financial USA, Inc. | |
| |
OceanFirst Financial Corp. | |
Par Pacific Holdings, Inc. | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
The First Trust Small Cap Growth AlphaDEX® Fund (the “Fund”) seeks investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of an equity index called the Nasdaq AlphaDEX® Small Cap Growth Index (the “Index”). The Fund will normally invest at least 90% of its net assets (including investment borrowings) in the common stocks that comprise the Index. The shares of the Fund are listed and trade on The Nasdaq Stock Market LLC under the ticker symbol “FYC.”
The Index is owned, developed, maintained and sponsored by Nasdaq, Inc. (the “Index Provider”). According to the Index Provider, the Index employs the AlphaDEX® stock selection methodology which uses fundamental growth and value factors to objectively select stocks from the Nasdaq US 700 Small Cap GrowthTM Index which may generate positive alpha relative to traditional passive indices. The Index is a modified equal-dollar weighted index where higher ranked stocks receive a higher weight within the Index.
|
| | Average Annual Total Returns | |
| | | | Inception
(4/19/11)
to 7/31/23 | | | Inception
(4/19/11)
to 7/31/23 |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Nasdaq AlphaDEX® Small Cap Growth | | | | | | | |
Nasdaq US 700 Small Cap GrowthTM | | | | | | | |
S&P SmallCap 600® Growth Index | | | | | | | |
| Performance data is not available for all the periods shown in the table for the index because performance data does not exist for some of the entire periods. |
(See Notes to Fund Performance Overview on page 26.)
Performance Review
The Fund generated a NAV return of 6.38% during the period covered by this report. During the same period, the S&P SmallCap 600® Growth Index (the “Benchmark”) generated a return of 4.07%. The Health Care and Information Technology sectors received the greatest allocation in the Fund, with an average weight of 17.2% and 17.3%, respectively. The Energy sector generated the largest contribution to the Fund’s return at 2.8%. The least contributing sector to the Fund’s return was the Financials sector, which generated a -1.5% contribution to the Fund’s return for the period.
Nasdaq® and the Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. AlphaDEX® is a registered trademark owned by First Trust that has been licensed to Nasdaq, Inc. for use in the name of the Index. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.
Fund Performance Overview (Unaudited) (Continued)
First Trust Small Cap Growth AlphaDEX® Fund (FYC) (Continued)
| % of Total
Long-Term
Investments |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| |
| % of Total
Long-Term
Investments |
| |
Opendoor Technologies, Inc. | |
| |
| |
| |
| |
Northern Oil and Gas, Inc. | |
| |
| |
Federal Agricultural Mortgage Corp., Class C | |
| |
| Performance figures assume reinvestment of all distributions and do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike the Fund, the index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by the Fund. These expenses negatively impact the performance of the Fund. The Fund’s past performance does not predict future performance. |
Frequency Distribution of Discounts and Premiums
Information showing the number of days the market price of the Fund’s shares was greater (at a premium) and less (at a discount) than the Fund’s net asset value for the most recently completed year, and the most recently completed calendar quarters since that year (or life of the Fund, if shorter) is available at https://www.ftportfolios.com/Retail/etf/home.aspx.
Notes to Fund Performance Overview (Unaudited)
Total returns for the periods since inception are calculated from the inception date of each Fund. “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated. For certain Funds the total returns would have been lower if certain fees had not been waived and expenses reimbursed by the Advisor.
Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of outstanding shares. The price used to calculate market return (“Market Price”) is determined by using the midpoint of the national best bid and offer price (“NBBO”) as of the time that the Fund’s NAV is calculated. Under SEC rules, the NBBO consists of the highest displayed buy and lowest sell prices among the various exchanges trading the Fund at the time the Fund’s NAV is calculated. Prior to January 1, 2019, the price used was the midpoint between the highest bid and the lowest offer on the stock exchange on which shares of the Fund were listed for trading as of the time that the Fund’s NAV was calculated. Since shares of each Fund did not trade in the secondary market until after the Fund’s inception, for the period from inception to the first day of secondary market trading in shares of the Fund, the NAV of each Fund is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that all distributions have been reinvested in each Fund at NAV and Market Price, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, the indices do not actually hold a portfolio of securities and therefore do not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. The total returns presented reflect the reinvestment of dividends on securities in the indices. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future performance.
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Understanding Your Fund Expenses
July 31, 2023 (Unaudited)
As a shareholder of First Trust Large Cap Core AlphaDEX® Fund, First Trust Mid Cap Core AlphaDEX® Fund, First Trust Small Cap Core AlphaDEX® Fund, First Trust Large Cap Value AlphaDEX® Fund, First Trust Large Cap Growth AlphaDEX® Fund, First Trust Multi Cap Value AlphaDEX® Fund, First Trust Multi Cap Growth AlphaDEX® Fund, First Trust Mid Cap Value AlphaDEX® Fund, First Trust Mid Cap Growth AlphaDEX® Fund, First Trust Small Cap Value AlphaDEX® Fund or First Trust Small Cap Growth AlphaDEX® Fund (each a “Fund” and collectively, the “Funds”), you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees, if any, and other Fund expenses. This Example is intended to help you understand your ongoing costs of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held through the six-month period ended July 31, 2023.
Actual Expenses
The first line in the following table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this six-month period.
Hypothetical Example for Comparison Purposes
The second line in the following table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as brokerage commissions. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Beginning
Account Value
February 1, 2023 | Ending
Account Value
July 31, 2023 | Annualized
Expense Ratio
Based on the
Six-Month
Period (a) | Expenses Paid
During the
Six-Month
Period (b) |
First Trust Large Cap Core AlphaDEX® Fund (FEX) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Mid Cap Core AlphaDEX® Fund (FNX) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Small Cap Core AlphaDEX® Fund (FYX) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Large Cap Value AlphaDEX® Fund (FTA) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Large Cap Growth AlphaDEX® Fund (FTC) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Multi Cap Value AlphaDEX® Fund (FAB) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Understanding Your Fund Expenses (Continued)
July 31, 2023 (Unaudited)
| Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Annualized Expense Ratio Based on the Six-Month Period (a) | Expenses Paid During the Six-Month Period (b) |
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Mid Cap Value AlphaDEX® Fund (FNK) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Small Cap Value AlphaDEX® Fund (FYT) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
First Trust Small Cap Growth AlphaDEX® Fund (FYC) |
| | | | |
Hypothetical (5% return before expenses) | | | | |
| These expense ratios reflect expense caps for certain Funds. See Note 3 in the Notes to Financial Statements. |
| Expenses are equal to the annualized expense ratio as indicated in the table multiplied by the average account value over the period (February 1, 2023 through July 31, 2023), multiplied by 181/365 (to reflect the six-month period). |
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 3.1% | |
| Axon Enterprise, Inc. (a) | |
| | |
| | |
| | |
| | |
| L3Harris Technologies, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| Expeditors International of Washington, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Rivian Automotive, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| Citizens Financial Group, Inc. | |
| | |
| Huntington Bancshares, Inc. | |
| | |
| | |
| | |
| PNC Financial Services Group (The), Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Monster Beverage Corp. (a) | |
| | |
| | |
| | |
|
| | |
| | |
| Vertex Pharmaceuticals, Inc. (a) | |
| | |
| | |
| | |
| | |
| Johnson Controls International PLC | |
| | |
| | |
| | |
| Ameriprise Financial, Inc. | |
| Ares Management Corp., Class A | |
| Bank of New York Mellon (The) Corp. | |
| | |
| Carlyle Group (The), Inc. | |
| Charles Schwab (The) Corp. | |
| | |
| | |
| Goldman Sachs Group (The), Inc. | |
| | |
| LPL Financial Holdings, Inc. | |
| | |
| | |
| Raymond James Financial, Inc. | |
| | |
| | |
| T. Rowe Price Group, Inc. | |
| | |
| | |
| Air Products and Chemicals, Inc. | |
| | |
| | |
| CF Industries Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| LyondellBasell Industries N.V., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Commercial Services & Supplies (Continued) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Arista Networks, Inc. (a) | |
| | |
| | |
| | |
| Construction & Engineering | |
| | |
| | |
| Martin Marietta Materials, Inc. | |
| | |
| | |
| Capital One Financial Corp. | |
| Discover Financial Services | |
| | |
| | |
| Consumer Staples Distribution | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Packaging Corp. of America | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Telecommunication | |
| | |
| Verizon Communications, Inc. | |
| | |
| | |
|
| Electric Utilities — 4.1% | |
| | |
| American Electric Power Co., Inc. | |
| Constellation Energy Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Electrical Equipment — 1.3% | |
| | |
| | |
| | |
| | |
| Rockwell Automation, Inc. | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
| | |
| Keysight Technologies, Inc. (a) | |
| | |
| | |
| | |
| Energy Equipment & Services | |
| | |
| | |
| | |
| | |
| Liberty Media Corp.-Liberty Formula One, Class C (a) | |
| Live Nation Entertainment, Inc. (a) | |
| | |
| ROBLOX Corp., Class A (a) | |
| Walt Disney (The) Co. (a) | |
| | |
| Financial Services — 2.0% | |
| Apollo Global Management, Inc. | |
| Corebridge Financial, Inc. | |
See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Financial Services (Continued) | |
| | |
| FleetCor Technologies, Inc. (a) | |
| | |
| Mastercard, Inc., Class A | |
| PayPal Holdings, Inc. (a) | |
| | |
| | |
| | |
| Archer-Daniels-Midland Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Lamb Weston Holdings, Inc. | |
| | |
| Mondelez International, Inc., Class A | |
| Tyson Foods, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| J.B. Hunt Transport Services, Inc. | |
| | |
| Old Dominion Freight Line, Inc. | |
| Uber Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| Boston Scientific Corp. (a) | |
| | |
| Edwards Lifesciences Corp. (a) | |
| | |
| IDEXX Laboratories, Inc. (a) | |
| | |
| Intuitive Surgical, Inc. (a) | |
| | |
| | |
| | |
|
| Health Care Equipment & Supplies (Continued) | |
| | |
| Zimmer Biomet Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Laboratory Corp. of America Holdings | |
| Molina Healthcare, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Veeva Systems, Inc., Class A (a) | |
| Hotel & Resort REITs — 0.3% | |
| Host Hotels & Resorts, Inc. | |
| Hotels, Restaurants & Leisure | |
| Airbnb, Inc., Class A (a) | |
| Booking Holdings, Inc. (a) | |
| Chipotle Mexican Grill, Inc. (a) | |
| | |
| Hilton Worldwide Holdings, Inc. | |
| Las Vegas Sands Corp. (a) | |
| Marriott International, Inc., Class A | |
| | |
| MGM Resorts International | |
| Royal Caribbean Cruises Ltd. (a) | |
| | |
| | |
| | |
| Household Durables — 2.0% | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Household Durables (Continued) | |
| | |
| | |
| | |
| Household Products — 0.2% | |
| | |
| Procter & Gamble (The) Co. | |
| | |
| Industrial Conglomerates — | |
| | |
| | |
| Honeywell International, Inc. | |
| | |
| | |
| | |
| American International Group, Inc. | |
| | |
| Arch Capital Group Ltd. (a) | |
| Arthur J. Gallagher & Co. | |
| | |
| | |
| | |
| Hartford Financial Services Group (The), Inc. | |
| | |
| Marsh & McLennan Cos., Inc. | |
| | |
| Principal Financial Group, Inc. | |
| Travelers (The) Cos., Inc. | |
| | |
| Interactive Media & Services | |
| Alphabet, Inc., Class A (a) | |
| Meta Platforms, Inc., Class A (a) | |
| Pinterest, Inc., Class A (a) | |
| | |
| | |
| | |
| Akamai Technologies, Inc. (a) | |
| Cloudflare, Inc., Class A (a) | |
| Cognizant Technology Solutions Corp., Class A | |
| | |
| GoDaddy, Inc., Class A (a) | |
| | |
| | |
|
| | |
| Snowflake, Inc., Class A (a) | |
| | |
| | |
| Life Sciences Tools & Services | |
| Charles River Laboratories International, Inc. (a) | |
| | |
| | |
| West Pharmaceutical Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Illinois Tool Works, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Stanley Black & Decker, Inc. | |
| Westinghouse Air Brake Technologies Corp. | |
| | |
| | |
| | |
| Charter Communications, Inc., Class A (a) | |
| | |
| | |
| Interpublic Group of (The) Cos., Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Reliance Steel & Aluminum Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Multi-Utilities (Continued) | |
| Consolidated Edison, Inc. | |
| | |
| | |
| Public Service Enterprise Group, Inc. | |
| | |
| | |
| | |
| | |
| Alexandria Real Estate Equities, Inc. | |
| Oil, Gas & Consumable Fuels | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Occidental Petroleum Corp. | |
| | |
| | |
| | |
| Pioneer Natural Resources Co. | |
| | |
| | |
| Williams (The) Cos., Inc. | |
| | |
| Passenger Airlines — 0.9% | |
| | |
| | |
| United Airlines Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Professional Services — 1.5% | |
| Broadridge Financial Solutions, Inc. | |
| | |
| | |
|
| Professional Services (Continued) | |
| | |
| | |
| | |
| SS&C Technologies Holdings, Inc. | |
| | |
| | |
| | |
| | |
| CBRE Group, Inc., Class A (a) | |
| | |
| | |
| | |
| AvalonBay Communities, Inc. | |
| | |
| Essex Property Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Microchip Technology, Inc. | |
| | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| ON Semiconductor Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cadence Design Systems, Inc. (a) | |
See Notes to Financial Statements
First Trust Large Cap Core AlphaDEX® Fund (FEX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Crowdstrike Holdings, Inc., Class A (a) | |
| Datadog, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Palantir Technologies, Inc., Class A (a) | |
| Palo Alto Networks, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Tyler Technologies, Inc. (a) | |
| Workday, Inc., Class A (a) | |
| | |
| | |
| | |
| Digital Realty Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| O’Reilly Automotive, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Technology Hardware, Storage | |
| | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Trading Companies & Distributors (Continued) | |
| | |
| | |
| | |
| Wireless Telecommunication | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — (0.0)% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 1.3% | |
| | |
| | |
| | |
| Huntington Ingalls Industries, Inc. | |
| | |
| | |
| Spirit AeroSystems Holdings, Inc., Class A | |
| | |
| Air Freight & Logistics — | |
| C.H. Robinson Worldwide, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Fox Factory Holding Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cullen/Frost Bankers, Inc. | |
| | |
| | |
| First Citizens BancShares, Inc., Class A | |
| | |
| First Interstate BancSystem, Inc., Class A | |
| | |
| | |
| | |
| | |
| New York Community Bancorp, Inc. | |
| | |
| Pinnacle Financial Partners, Inc. | |
| | |
| | |
|
| | |
| Prosperity Bancshares, Inc. | |
| | |
| | |
| | |
| | |
| United Community Banks, Inc. | |
| | |
| | |
| Western Alliance Bancorp (b) | |
| | |
| | |
| | |
| | |
| Celsius Holdings, Inc. (a) | |
| Coca-Cola Consolidated, Inc. | |
| Molson Coors Beverage Co., Class B | |
| | |
| | |
| | |
| Amicus Therapeutics, Inc. (a) | |
| Apellis Pharmaceuticals, Inc. (a) | |
| | |
| Intellia Therapeutics, Inc. (a) | |
| Karuna Therapeutics, Inc. (a) | |
| | |
| Roivant Sciences Ltd. (a) | |
| | |
| | |
| | |
| | |
| | |
| Ollie’s Bargain Outlet Holdings, Inc. (a) | |
| | |
| | |
| | |
| Advanced Drainage Systems, Inc. | |
| | |
| Armstrong World Industries, Inc. | |
| | |
| Builders FirstSource, Inc. (a) | |
| Fortune Brands Innovations, Inc. | |
| Lennox International, Inc. | |
| | |
| | |
| Simpson Manufacturing Co., Inc. | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Building Products (Continued) | |
| | |
| | |
| | |
| | |
| Affiliated Managers Group, Inc. | |
| | |
| | |
| | |
| Interactive Brokers Group, Inc., Class A | |
| | |
| Jefferies Financial Group, Inc. | |
| | |
| Robinhood Markets, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Axalta Coating Systems Ltd. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Casella Waste Systems, Inc., Class A (a) | |
| | |
| Driven Brands Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Construction & Engineering | |
| | |
| | |
| Comfort Systems USA, Inc. | |
| | |
| MDU Resources Group, Inc. | |
| | |
| WillScot Mobile Mini Holdings Corp. (a) | |
| | |
| | |
| | |
| Summit Materials, Inc., Class A (c) | |
| | |
| | |
| | |
| Credit Acceptance Corp. (a) | |
| | |
| | |
| | |
| SoFi Technologies, Inc. (a) | |
| | |
| Consumer Staples Distribution | |
| BJ’s Wholesale Club Holdings, Inc. (a) | |
| Casey’s General Stores, Inc. | |
| Performance Food Group Co. (a) | |
| Sprouts Farmers Market, Inc. (a) | |
| US Foods Holding Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| Graphic Packaging Holding Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Telecommunication | |
| Frontier Communications Parent, Inc. (a) | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Diversified Telecommunication Services (Continued) | |
| Iridium Communications, Inc. | |
| | |
| | |
| Electric Utilities — 1.2% | |
| | |
| Hawaiian Electric Industries, Inc. | |
| | |
| Pinnacle West Capital Corp. | |
| Portland General Electric Co. | |
| | |
| Electrical Equipment — 0.9% | |
| | |
| | |
| | |
| Generac Holdings, Inc. (a) | |
| | |
| | |
| Electronic Equipment, Instruments & Components | |
| Advanced Energy Industries, Inc. | |
| Arrow Electronics, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Insight Enterprises, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Energy Equipment & Services | |
| | |
| | |
| | |
| | |
| Patterson-UTI Energy, Inc. | |
| | |
| Weatherford International PLC (a) | |
| | |
| | |
|
| | |
| Madison Square Garden Sports Corp. | |
| Financial Services — 2.8% | |
| | |
| | |
| Euronet Worldwide, Inc. (a) | |
| Jackson Financial, Inc., Class A | |
| | |
| | |
| Shift4 Payments, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Darling Ingredients, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Southwest Gas Holdings, Inc. | |
| | |
| | |
| | |
| Avis Budget Group, Inc. (a) | |
| Hertz Global Holdings, Inc. (a) | |
| Knight-Swift Transportation Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Envista Holdings Corp. (a) | |
| | |
| Inspire Medical Systems, Inc. (a) | |
| Integra LifeSciences Holdings Corp. (a) | |
| Lantheus Holdings, Inc. (a) | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Health Care Equipment & Supplies (Continued) | |
| Merit Medical Systems, Inc. (a) | |
| | |
| | |
| Shockwave Medical, Inc. (a) | |
| | |
| | |
| | |
| Acadia Healthcare Co., Inc. (a) | |
| | |
| AMN Healthcare Services, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Option Care Health, Inc. (a) | |
| | |
| Select Medical Holdings Corp. | |
| Tenet Healthcare Corp. (a) | |
| Universal Health Services, Inc., Class B | |
| | |
| | |
| Healthcare Realty Trust, Inc. | |
| Medical Properties Trust, Inc. | |
| | |
| | |
| | |
| | |
| Hotel & Resort REITs — 0.3% | |
| Apple Hospitality REIT, Inc. | |
| Ryman Hospitality Properties, Inc. | |
| | |
| Hotels, Restaurants & Leisure | |
| | |
| | |
| Caesars Entertainment, Inc. (a) | |
| | |
| Choice Hotels International, Inc. | |
| | |
| DraftKings, Inc., Class A (a) | |
| Hilton Grand Vacations, Inc. (a) | |
| Hyatt Hotels Corp., Class A | |
| | |
|
| Hotels, Restaurants & Leisure (Continued) | |
| Life Time Group Holdings, Inc. (a) | |
| | |
| Marriott Vacations Worldwide Corp. | |
| Norwegian Cruise Line Holdings Ltd. (a) | |
| Penn Entertainment, Inc. (a) | |
| SeaWorld Entertainment, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Household Durables — 2.0% | |
| | |
| | |
| Mohawk Industries, Inc. (a) | |
| | |
| Taylor Morrison Home Corp. (a) | |
| Tempur Sealy International, Inc. | |
| | |
| | |
| | |
| Household Products — 0.1% | |
| Reynolds Consumer Products, Inc. | |
| Independent Power and Renewable Electricity | |
| | |
| | |
| Americold Realty Trust, Inc. | |
| First Industrial Realty Trust, Inc. | |
| | |
| | |
| | |
| American Equity Investment Life Holding Co. | |
| American Financial Group, Inc. | |
| | |
| | |
| Axis Capital Holdings Ltd. | |
| | |
| Fidelity National Financial, Inc. | |
| First American Financial Corp. | |
| | |
| Kinsale Capital Group, Inc. | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Old Republic International Corp. | |
| | |
| Reinsurance Group of America, Inc. | |
| RenaissanceRe Holdings Ltd. | |
| Ryan Specialty Holdings, Inc. (a) | |
| Selective Insurance Group, Inc. | |
| | |
| White Mountains Insurance Group Ltd. | |
| | |
| Interactive Media & Services | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Topgolf Callaway Brands Corp. (a) | |
| | |
| Life Sciences Tools & Services | |
| 10X Genomics, Inc., Class A (a) | |
| Medpace Holdings, Inc. (a) | |
| | |
| | |
| | |
| Albany International Corp., Class A | |
| Allison Transmission Holdings, Inc. | |
| | |
| | |
| | |
| | |
| Franklin Electric Co., Inc. | |
| | |
| | |
| John Bean Technologies Corp. | |
| Lincoln Electric Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| Watts Water Technologies, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| DISH Network Corp., Class A (a) | |
| New York Times (The) Co., Class A | |
| | |
| Nexstar Media Group, Inc. | |
| | |
| | |
| | |
| Cleveland-Cliffs, Inc. (a) | |
| | |
| United States Steel Corp. | |
| | |
| | |
| Annaly Capital Management, Inc. | |
| Blackstone Mortgage Trust, Inc., Class A (b) | |
| | |
| Starwood Property Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| Antero Resources Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Oil, Gas & Consumable Fuels (Continued) | |
| Magnolia Oil & Gas Corp., Class A | |
| | |
| | |
| PBF Energy, Inc., Class A | |
| | |
| | |
| | |
| Southwestern Energy Co. (a) | |
| | |
| Paper & Forest Products — | |
| | |
| Passenger Airlines — 0.4% | |
| Alaska Air Group, Inc. (a) | |
| American Airlines Group, Inc. (a) | |
| | |
| | |
| BellRing Brands, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Elanco Animal Health, Inc. (a) | |
| Intra-Cellular Therapies, Inc. (a) | |
| | |
| | |
| | |
| Professional Services — 2.5% | |
| Alight, Inc., Class A (a) | |
| | |
| CACI International, Inc., Class A (a) | |
| Ceridian HCM Holding, Inc. (a) | |
| | |
| Dun & Bradstreet Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Professional Services (Continued) | |
| Science Applications International Corp. | |
| | |
| | |
| | |
| Howard Hughes (The) Corp. (a) | |
| Jones Lang LaSalle, Inc. (a) | |
| | |
| | |
| American Homes 4 Rent, Class A | |
| Apartment Income REIT Corp. | |
| Independence Realty Trust, Inc. | |
| | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| Allegro MicroSystems, Inc. (a) | |
| | |
| Axcelis Technologies, Inc. (a) | |
| | |
| Lattice Semiconductor Corp. (a) | |
| | |
| Onto Innovation, Inc. (a) | |
| | |
| | |
| Silicon Laboratories, Inc. (a) | |
| | |
| | |
| | |
| | |
| Bentley Systems, Inc., Class B | |
| | |
| CCC Intelligent Solutions Holdings, Inc. (a) | |
| Confluent, Inc., Class A (a) | |
| Dolby Laboratories, Inc., Class A | |
| DoubleVerify Holdings, Inc. (a) | |
| Dropbox, Inc., Class A (a) | |
| | |
| | |
| | |
| Gitlab, Inc., Class A (a) | |
| Guidewire Software, Inc. (a) | |
| Manhattan Associates, Inc. (a) | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| Nutanix, Inc., Class A (a) | |
| Procore Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Lamar Advertising Co., Class A | |
| | |
| | |
| | |
| Academy Sports & Outdoors, Inc. | |
| | |
| Asbury Automotive Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| Dick’s Sporting Goods, Inc. | |
| | |
| Floor & Decor Holdings, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Penske Automotive Group, Inc. | |
| | |
| | |
| | |
| Victoria’s Secret & Co. (a) | |
| | |
| | |
| Technology Hardware, Storage | |
| Pure Storage, Inc., Class A (a) | |
| Super Micro Computer, Inc. (a) | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| Deckers Outdoor Corp. (a) | |
| | |
| | |
| Skechers U.S.A., Inc., Class A (a) | |
| | |
|
| Textiles, Apparel & Luxury Goods (Continued) | |
| | |
| Under Armour, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Applied Industrial Technologies, Inc. | |
| Beacon Roofing Supply, Inc. (a) | |
| Core & Main, Inc., Class A (a) | |
| | |
| | |
| MSC Industrial Direct Co., Inc., Class A | |
| SiteOne Landscape Supply, Inc. (a) | |
| | |
| WESCO International, Inc. | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.2% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (d) | |
| | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
REPURCHASE AGREEMENTS — 0.9% |
| BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $9,348,056. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $9,533,838. (e) | |
| | |
|
|
| Total Investments — 101.0% | |
| | |
| Net Other Assets and Liabilities — (1.0)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $9,958,578 and the total value of the collateral held by the Fund is $10,292,070. |
| Non-income producing security which makes payment-in- kind (“PIK”) distributions. There were no in-kind distributions received for the fiscal year ended July 31, 2023. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 0.9% | |
| | |
| | |
| Mercury Systems, Inc. (a) | |
| | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| Air Transport Services Group, Inc. (a) | |
| | |
| Hub Group, Inc., Class A (a) | |
| | |
| | |
| | |
| Dorman Products, Inc. (a) | |
| | |
| Goodyear Tire & Rubber (The) Co. (a) | |
| | |
| Luminar Technologies, Inc. (a) (b) | |
| Modine Manufacturing Co. (a) | |
| | |
| | |
| | |
| | |
| Winnebago Industries, Inc. | |
| | |
| | |
| | |
| | |
| Atlantic Union Bankshares Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Berkshire Hills Bancorp, Inc. | |
| | |
| Capitol Federal Financial, Inc. | |
| | |
| | |
| Columbia Banking System, Inc. | |
| Community Bank System, Inc. | |
| Dime Community Bancshares, Inc. | |
| | |
|
| | |
| | |
| Enterprise Financial Services Corp. | |
| | |
| | |
| | |
| | |
| First Commonwealth Financial Corp. | |
| | |
| | |
| | |
| Heartland Financial USA, Inc. | |
| | |
| | |
| Independent Bank Group, Inc. | |
| International Bancshares Corp. | |
| Live Oak Bancshares, Inc. | |
| National Bank Holdings Corp., Class A | |
| | |
| Northwest Bancshares, Inc. | |
| OceanFirst Financial Corp. | |
| | |
| | |
| Pacific Premier Bancorp, Inc. | |
| | |
| | |
| | |
| Provident Financial Services, Inc. | |
| | |
| Sandy Spring Bancorp, Inc. | |
| Seacoast Banking Corp. of Florida | |
| Simmons First National Corp., Class A | |
| Southside Bancshares, Inc. | |
| | |
| Texas Capital Bancshares, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| ACADIA Pharmaceuticals, Inc. (a) | |
| Agios Pharmaceuticals, Inc. (a) | |
| Bridgebio Pharma, Inc. (a) | |
| Catalyst Pharmaceuticals, Inc. (a) | |
| Dynavax Technologies Corp. (a) | |
| | |
| | |
| | |
| Morphic Holding, Inc. (a) | |
| | |
| PTC Therapeutics, Inc. (a) | |
| Recursion Pharmaceuticals, Inc., Class A (a) | |
| REVOLUTION Medicines, Inc. (a) | |
| Rhythm Pharmaceuticals, Inc. (a) (b) | |
| Sage Therapeutics, Inc. (a) | |
| TG Therapeutics, Inc. (a) | |
| Twist Bioscience Corp. (a) | |
| Ultragenyx Pharmaceutical, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Gibraltar Industries, Inc. (a) | |
| | |
| Hayward Holdings, Inc. (a) | |
| Janus International Group, Inc. (a) | |
| PGT Innovations, Inc. (a) | |
| Resideo Technologies, Inc. (a) | |
| | |
| | |
| Artisan Partners Asset Management, Inc., Class A | |
| AssetMark Financial Holdings, Inc. (a) | |
| B. Riley Financial, Inc. (b) | |
| | |
| Donnelley Financial Solutions, Inc. (a) | |
| Golub Capital BDC, Inc. (b) | |
| Hamilton Lane, Inc., Class A | |
| | |
|
| Capital Markets (Continued) | |
| | |
| | |
| | |
| Victory Capital Holdings, Inc., Class A | |
| Virtu Financial, Inc., Class A | |
| Virtus Investment Partners, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Minerals Technologies, Inc. | |
| | |
| Perimeter Solutions S.A. (a) | |
| Sensient Technologies Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| GEO Group (The), Inc. (a) | |
| | |
| | |
| Montrose Environmental Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| Digi International, Inc. (a) | |
| Extreme Networks, Inc. (a) | |
| | |
| NetScout Systems, Inc. (a) | |
| | |
| Viavi Solutions, Inc. (a) | |
| | |
| Construction & Engineering | |
| Ameresco, Inc., Class A (a) | |
| | |
| Construction Partners, Inc., Class A (a) | |
| Dycom Industries, Inc. (a) | |
| Granite Construction, Inc. | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Construction & Engineering (Continued) | |
| | |
| | |
| | |
| | |
| Bread Financial Holdings, Inc. | |
| Encore Capital Group, Inc. (a) | |
| Enova International, Inc. (a) | |
| | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| | |
| Chefs’ Warehouse (The), Inc. (a) | |
| Grocery Outlet Holding Corp. (a) | |
| Ingles Markets, Inc., Class A | |
| | |
| United Natural Foods, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Consumer Services | |
| Adtalem Global Education, Inc. (a) | |
| | |
| | |
| | |
| Graham Holdings Co., Class B | |
| | |
| Mister Car Wash, Inc. (a) | |
| Strategic Education, Inc. | |
| | |
| | |
| | |
| | |
| American Assets Trust, Inc. | |
| Broadstone Net Lease, Inc. | |
| | |
|
| Diversified REITs (Continued) | |
| Empire State Realty Trust, Inc., Class A | |
| | |
| | |
| Diversified Telecommunication | |
| Cogent Communications Holdings, Inc. | |
| Liberty Latin America Ltd., Class C (a) | |
| | |
| Electric Utilities — 0.2% | |
| | |
| | |
| | |
| Electrical Equipment — 1.4% | |
| Array Technologies, Inc. (a) | |
| | |
| | |
| GrafTech International Ltd. | |
| Shoals Technologies Group, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
| | |
| Methode Electronics, Inc. | |
| | |
| | |
| | |
| TTM Technologies, Inc. (a) | |
| Vishay Intertechnology, Inc. | |
| | |
| Energy Equipment & Services | |
| | |
| Diamond Offshore Drilling, Inc. (a) | |
| Expro Group Holdings N.V. (a) | |
| Helix Energy Solutions Group, Inc. (a) | |
| | |
| Oceaneering International, Inc. (a) | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Energy Equipment & Services (Continued) | |
| ProFrac Holding Corp., Class A (a) | |
| ProPetro Holding Corp. (a) | |
| | |
| | |
| | |
| | |
| Cinemark Holdings, Inc. (a) | |
| Sphere Entertainment Co. (a) | |
| | |
| Financial Services — 3.0% | |
| AvidXchange Holdings, Inc. (a) | |
| Cannae Holdings, Inc. (a) | |
| Compass Diversified Holdings | |
| | |
| Federal Agricultural Mortgage Corp., Class C | |
| | |
| Marqeta, Inc., Class A (a) | |
| | |
| Mr. Cooper Group, Inc. (a) | |
| NMI Holdings, Inc., Class A (a) | |
| Payoneer Global, Inc. (a) | |
| PennyMac Financial Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Fresh Del Monte Produce, Inc. | |
| | |
| | |
| | |
| | |
| TreeHouse Foods, Inc. (a) | |
| | |
| | |
| | |
| Northwest Natural Holding Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Ground Transportation (Continued) | |
| Schneider National, Inc., Class B | |
| | |
| | |
| | |
| Alphatec Holdings, Inc. (a) | |
| | |
| | |
| | |
| Integer Holdings Corp. (a) | |
| iRhythm Technologies, Inc. (a) | |
| | |
| | |
| PROCEPT BioRobotics Corp. (a) | |
| TransMedics Group, Inc. (a) | |
| Treace Medical Concepts, Inc. (a) | |
| | |
| | |
| | |
| Apollo Medical Holdings, Inc. (a) | |
| | |
| Guardant Health, Inc. (a) | |
| Hims & Hers Health, Inc. (a) | |
| LifeStance Health Group, Inc. (a) (b) | |
| | |
| | |
| | |
| | |
| Pediatrix Medical Group, Inc. (a) | |
| Privia Health Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| National Health Investors, Inc. | |
| Sabra Health Care REIT, Inc. | |
| | |
| | |
| Evolent Health, Inc., Class A (a) | |
| NextGen Healthcare, Inc. (a) | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Hotel & Resort REITs — 1.3% | |
| DiamondRock Hospitality Co. | |
| Park Hotels & Resorts, Inc. | |
| | |
| | |
| | |
| Sunstone Hotel Investors, Inc. | |
| Xenia Hotels & Resorts, Inc. | |
| | |
| Hotels, Restaurants & Leisure | |
| | |
| | |
| Brinker International, Inc. (a) | |
| Cheesecake Factory (The), Inc. | |
| Cracker Barrel Old Country Store, Inc. | |
| Dave & Buster’s Entertainment, Inc. (a) | |
| | |
| | |
| Monarch Casino & Resort, Inc. | |
| Papa John’s International, Inc. | |
| Playa Hotels & Resorts N.V. (a) | |
| Red Rock Resorts, Inc., Class A | |
| Shake Shack, Inc., Class A (a) | |
| Six Flags Entertainment Corp. (a) | |
| Target Hospitality Corp. (a) (b) | |
| | |
| Household Durables — 3.2% | |
| Cavco Industries, Inc. (a) | |
| Century Communities, Inc. | |
| Green Brick Partners, Inc. (a) | |
| | |
| Installed Building Products, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Skyline Champion Corp. (a) | |
| Tri Pointe Homes, Inc. (a) | |
| | |
| Household Products — 0.4% | |
| Central Garden & Pet Co., Class A (a) | |
| | |
| | |
| | |
| | |
|
| Independent Power and Renewable Electricity | |
| Altus Power, Inc. (a) (b) | |
| Sunnova Energy International, Inc. (a) (b) | |
| | |
| | |
| | |
| | |
| BRP Group, Inc., Class A (a) | |
| CNO Financial Group, Inc. | |
| | |
| Genworth Financial, Inc., Class A (a) | |
| Horace Mann Educators Corp. | |
| Palomar Holdings, Inc. (a) | |
| Safety Insurance Group, Inc. | |
| | |
| Stewart Information Services Corp. | |
| | |
| Interactive Media & Services | |
| | |
| | |
| | |
| | |
| | |
| ZipRecruiter, Inc., Class A (a) | |
| | |
| | |
| DigitalOcean Holdings, Inc. (a) | |
| Kyndryl Holdings, Inc. (a) | |
| | |
| Squarespace, Inc., Class A (a) | |
| | |
| | |
| | |
| Malibu Boats, Inc., Class A (a) | |
| | |
| | |
| Life Sciences Tools & Services | |
| Pacific Biosciences of California, Inc. (a) | |
| | |
| | |
| | |
| Energy Recovery, Inc. (a) | |
| | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| | |
| | |
| Helios Technologies, Inc. | |
| | |
| Hillman Solutions Corp. (a) | |
| | |
| | |
| Mueller Water Products, Inc., Class A | |
| | |
| Standex International Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Altice USA, Inc., Class A (a) | |
| John Wiley & Sons, Inc., Class A | |
| | |
| | |
| | |
| | |
| Alpha Metallurgical Resources, Inc. | |
| Carpenter Technology Corp. | |
| | |
| | |
| | |
| | |
| Worthington Industries, Inc. | |
| | |
| | |
| Apollo Commercial Real Estate Finance, Inc. | |
| Arbor Realty Trust, Inc. (b) | |
| Claros Mortgage Trust, Inc. | |
| Franklin BSP Realty Trust, Inc. | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | |
| | |
| | |
| New York Mortgage Trust, Inc. | |
| | |
|
| Mortgage REITs (Continued) | |
| PennyMac Mortgage Investment Trust | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Easterly Government Properties, Inc. | |
| | |
| Highwoods Properties, Inc. | |
| Hudson Pacific Properties, Inc. | |
| | |
| | |
| Piedmont Office Realty Trust, Inc., Class A | |
| SL Green Realty Corp. (b) | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| California Resources Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Earthstone Energy, Inc., Class A (a) | |
| Equitrans Midstream Corp. | |
| | |
| Gulfport Energy Corp. (a) | |
| International Seaways, Inc. | |
| | |
| Northern Oil and Gas, Inc. | |
| Par Pacific Holdings, Inc. (a) | |
| | |
| Sitio Royalties Corp., Class A (b) | |
| | |
| | |
| Paper & Forest Products — | |
| | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Passenger Airlines — 0.2% | |
| | |
| JetBlue Airways Corp. (a) | |
| | |
| | |
| Edgewell Personal Care Co. | |
| | |
| | |
| | |
| Nu Skin Enterprises, Inc., Class A | |
| | |
| | |
| Amphastar Pharmaceuticals, Inc. (a) | |
| Corcept Therapeutics, Inc. (a) | |
| Ligand Pharmaceuticals, Inc. (a) | |
| Reata Pharmaceuticals, Inc., Class A (a) | |
| Revance Therapeutics, Inc. (a) | |
| Supernus Pharmaceuticals, Inc. (a) | |
| | |
| Professional Services — 1.3% | |
| | |
| CSG Systems International, Inc. | |
| First Advantage Corp. (a) | |
| Huron Consulting Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| DigitalBridge Group, Inc. | |
| Kennedy-Wilson Holdings, Inc. | |
| | |
| Newmark Group, Inc., Class A | |
| Opendoor Technologies, Inc. (a) | |
| | |
| | |
| | |
| Apartment Investment and Management Co., Class A | |
| | |
| | |
|
| Residential REITs (Continued) | |
| NexPoint Residential Trust, Inc. | |
| Veris Residential, Inc. (a) | |
| | |
| | |
| | |
| InvenTrust Properties Corp. | |
| | |
| Retail Opportunity Investments Corp. | |
| | |
| Tanger Factory Outlet Centers, Inc. | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| Credo Technology Group Holding Ltd. (a) | |
| | |
| | |
| Ultra Clean Holdings, Inc. (a) | |
| | |
| | |
| | |
| Alarm.com Holdings, Inc. (a) | |
| Alkami Technology, Inc. (a) | |
| Altair Engineering, Inc., Class A (a) | |
| Appfolio, Inc., Class A (a) | |
| Appian Corp., Class A (a) | |
| | |
| | |
| | |
| Clear Secure, Inc., Class A | |
| CommVault Systems, Inc. (a) | |
| Consensus Cloud Solutions, Inc. (a) | |
| Digital Turbine, Inc. (a) | |
| Freshworks, Inc., Class A (a) | |
| | |
| | |
| | |
| MicroStrategy, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| RingCentral, Inc., Class A (a) | |
| Samsara, Inc., Class A (a) | |
| Sprinklr, Inc., Class A (a) | |
| Varonis Systems, Inc. (a) | |
| Zeta Global Holdings Corp., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Abercrombie & Fitch Co., Class A (a) | |
| American Eagle Outfitters, Inc. | |
| Boot Barn Holdings, Inc. (a) | |
| | |
| | |
| | |
| National Vision Holdings, Inc. (a) | |
| | |
| | |
| Sally Beauty Holdings, Inc. (a) | |
| Sonic Automotive, Inc., Class A | |
| | |
| Urban Outfitters, Inc. (a) | |
| | |
| Technology Hardware, Storage | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| | |
| Levi Strauss & Co., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Trading Companies & Distributors (Continued) | |
| Custom Truck One Source, Inc. (a) | |
| | |
| | |
| H&E Equipment Services, Inc. | |
| | |
| | |
| Rush Enterprises, Inc., Class A | |
| | |
| Xometry, Inc., Class A (a) | |
| | |
| | |
| California Water Service Group | |
| | |
| | |
| Wireless Telecommunication | |
| | |
| Telephone and Data Systems, Inc. | |
| United States Cellular Corp. (a) | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.3% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (d) | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX)
Portfolio of Investments (Continued)
July 31, 2023
| | |
REPURCHASE AGREEMENTS — 1.4% |
| BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $12,768,271. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $13,022,026. (e) | |
| | |
|
|
| Total Investments — 101.6% | |
| | |
| Net Other Assets and Liabilities — (1.6)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $13,791,293 and the total value of the collateral held by the Fund is $14,057,676. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Large Cap Value AlphaDEX® Fund (FTA)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 2.4% | |
| | |
| L3Harris Technologies, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| Expeditors International of Washington, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Citizens Financial Group, Inc. | |
| | |
| Huntington Bancshares, Inc. | |
| | |
| | |
| | |
| PNC Financial Services Group (The), Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Bank of New York Mellon (The) Corp. | |
| | |
| Carlyle Group (The), Inc. | |
| | |
| Goldman Sachs Group (The), Inc. | |
| | |
| | |
|
| Capital Markets (Continued) | |
| | |
| T. Rowe Price Group, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| LyondellBasell Industries N.V., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Martin Marietta Materials, Inc. | |
| | |
| Capital One Financial Corp. | |
| Discover Financial Services | |
| | |
| | |
| Consumer Staples Distribution | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Packaging Corp. of America | |
| | |
| | |
| | |
| | |
| | |
| Diversified Telecommunication | |
| | |
| Verizon Communications, Inc. | |
| | |
See Notes to Financial Statements
First Trust Large Cap Value AlphaDEX® Fund (FTA)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Electric Utilities — 6.8% | |
| | |
| American Electric Power Co., Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Electrical Equipment — 0.3% | |
| | |
| Rockwell Automation, Inc. | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
| | |
| | |
| | |
| | |
| Walt Disney (The) Co. (a) | |
| | |
| Financial Services — 1.3% | |
| Corebridge Financial, Inc. | |
| FleetCor Technologies, Inc. (a) | |
| | |
| | |
| | |
| Archer-Daniels-Midland Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Mondelez International, Inc., Class A | |
| Tyson Foods, Inc., Class A | |
| | |
| | |
| | |
| | |
|
| | |
| J.B. Hunt Transport Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Laboratory Corp. of America Holdings | |
| | |
| Molina Healthcare, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Household Durables — 3.7% | |
| | |
| | |
| | |
| | |
| | |
| | |
| Household Products — 0.3% | |
| | |
| Procter & Gamble (The) Co. | |
| | |
| Industrial Conglomerates — | |
| | |
| | |
| | |
| | |
| | |
| American International Group, Inc. | |
| Arch Capital Group Ltd. (a) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Value AlphaDEX® Fund (FTA)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Hartford Financial Services Group (The), Inc. | |
| | |
| | |
| Principal Financial Group, Inc. | |
| Travelers (The) Cos., Inc. | |
| | |
| Interactive Media & Services | |
| Alphabet, Inc., Class A (a) | |
| Meta Platforms, Inc., Class A (a) | |
| | |
| | |
| | |
| Akamai Technologies, Inc. (a) | |
| Cognizant Technology Solutions Corp., Class A | |
| | |
| Life Sciences Tools & Services | |
| Charles River Laboratories International, Inc. (a) | |
| | |
| West Pharmaceutical Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Stanley Black & Decker, Inc. | |
| Westinghouse Air Brake Technologies Corp. | |
| | |
| | |
| Charter Communications, Inc., Class A (a) | |
| | |
| | |
| Interpublic Group of (The) Cos., Inc. | |
| | |
| Paramount Global, Class B | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| Consolidated Edison, Inc. | |
| | |
| | |
| Public Service Enterprise Group, Inc. | |
| | |
| | |
| | |
| | |
| Alexandria Real Estate Equities, Inc. | |
| Oil, Gas & Consumable Fuels | |
| | |
| | |
| | |
| | |
| | |
| | |
| Passenger Airlines — 1.0% | |
| | |
| United Airlines Holdings, Inc. (a) | |
| | |
| | |
| | |
| Professional Services — 1.4% | |
| | |
| | |
| SS&C Technologies Holdings, Inc. | |
| | |
| | |
| CBRE Group, Inc., Class A (a) | |
| | |
| AvalonBay Communities, Inc. | |
| | |
| Essex Property Trust, Inc. | |
| | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Value AlphaDEX® Fund (FTA)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Semiconductors & Semiconductor Equipment (Continued) | |
| | |
| | |
| | |
| | |
| | |
| Digital Realty Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Technology Hardware, Storage | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| | |
| Wireless Telecommunication | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.2% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.2% | |
| | |
| Net Other Assets and Liabilities — (0.2)% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 3.6% | |
| Axon Enterprise, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Rivian Automotive, Inc., Class A (a) | |
| | |
| | |
| | |
| Monster Beverage Corp. (a) | |
| | |
| | |
| | |
| Vertex Pharmaceuticals, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Ameriprise Financial, Inc. | |
| Ares Management Corp., Class A | |
| | |
| Charles Schwab (The) Corp. | |
| FactSet Research Systems, Inc. | |
| | |
| LPL Financial Holdings, Inc. | |
| | |
| | |
| Raymond James Financial, Inc. | |
| | |
| | |
| | |
| Air Products and Chemicals, Inc. | |
| | |
| CF Industries Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Commercial Services & Supplies (Continued) | |
| | |
| | |
| | |
| | |
| Arista Networks, Inc. (a) | |
| | |
| | |
| Construction & Engineering | |
| | |
| Consumer Staples Distribution | |
| | |
| | |
| | |
| Electric Utilities — 1.6% | |
| Constellation Energy Corp. | |
| | |
| | |
| Electrical Equipment — 2.2% | |
| | |
| | |
| | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| Keysight Technologies, Inc. (a) | |
| | |
| Teledyne Technologies, Inc. (a) | |
| | |
| Energy Equipment & Services | |
| | |
| | |
| | |
| | |
| Liberty Media Corp.-Liberty Formula One, Class C (a) | |
| Live Nation Entertainment, Inc. (a) | |
| ROBLOX Corp., Class A (a) | |
| | |
| Financial Services — 2.3% | |
| Apollo Global Management, Inc. | |
| | |
See Notes to Financial Statements
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Financial Services (Continued) | |
| Mastercard, Inc., Class A | |
| | |
| | |
| | |
| | |
| Lamb Weston Holdings, Inc. | |
| | |
| | |
| | |
| | |
| Old Dominion Freight Line, Inc. | |
| Uber Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| Boston Scientific Corp. (a) | |
| | |
| Edwards Lifesciences Corp. (a) | |
| IDEXX Laboratories, Inc. (a) | |
| | |
| Intuitive Surgical, Inc. (a) | |
| | |
| | |
| Zimmer Biomet Holdings, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Veeva Systems, Inc., Class A (a) | |
| Hotel & Resort REITs — 0.6% | |
| Host Hotels & Resorts, Inc. | |
| Hotels, Restaurants & Leisure | |
| Airbnb, Inc., Class A (a) | |
| Booking Holdings, Inc. (a) | |
| Chipotle Mexican Grill, Inc. (a) | |
| | |
| Hilton Worldwide Holdings, Inc. | |
| Las Vegas Sands Corp. (a) | |
| | |
|
| Hotels, Restaurants & Leisure (Continued) | |
| Marriott International, Inc., Class A | |
| | |
| MGM Resorts International | |
| Royal Caribbean Cruises Ltd. (a) | |
| | |
| | |
| | |
| Independent Power and Renewable Electricity | |
| | |
| Industrial Conglomerates — | |
| Honeywell International, Inc. | |
| | |
| | |
| Arthur J. Gallagher & Co. | |
| Marsh & McLennan Cos., Inc. | |
| | |
| Interactive Media & Services | |
| | |
| Pinterest, Inc., Class A (a) | |
| | |
| | |
| Cloudflare, Inc., Class A (a) | |
| | |
| GoDaddy, Inc., Class A (a) | |
| | |
| Snowflake, Inc., Class A (a) | |
| | |
| | |
| Life Sciences Tools & Services | |
| | |
| | |
| | |
| | |
| | |
| Illinois Tool Works, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Metals & Mining (Continued) | |
| Reliance Steel & Aluminum Co. | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Occidental Petroleum Corp. | |
| | |
| Pioneer Natural Resources Co. | |
| | |
| Williams (The) Cos., Inc. | |
| | |
| Passenger Airlines — 0.8% | |
| | |
| | |
| | |
| | |
| | |
| Professional Services — 1.2% | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Semiconductors & Semiconductor Equipment (Continued) | |
| | |
| Microchip Technology, Inc. | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| ON Semiconductor Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Cadence Design Systems, Inc. (a) | |
| Crowdstrike Holdings, Inc., Class A (a) | |
| Datadog, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Palantir Technologies, Inc., Class A (a) | |
| Palo Alto Networks, Inc. (a) | |
| | |
| | |
| | |
| | |
| Tyler Technologies, Inc. (a) | |
| Workday, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| O’Reilly Automotive, Inc. (a) | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Technology Hardware, Storage | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.0% |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (b) | |
| | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — (0.0)% | |
| | |
| Non-income producing security. |
| Rate shown reflects yield as of July 31, 2023. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 1.6% | |
| | |
| | |
| Huntington Ingalls Industries, Inc. | |
| L3Harris Technologies, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| Air Transport Services Group, Inc. (a) | |
| C.H. Robinson Worldwide, Inc. | |
| Expeditors International of Washington, Inc. | |
| | |
| Hub Group, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Dorman Products, Inc. (a) | |
| | |
| Goodyear Tire & Rubber (The) Co. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Winnebago Industries, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Atlantic Union Bankshares Corp. | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| Berkshire Hills Bancorp, Inc. | |
| | |
| | |
| | |
| Capitol Federal Financial, Inc. | |
| | |
| | |
| Citizens Financial Group, Inc. | |
| Columbia Banking System, Inc. | |
| | |
| Community Bank System, Inc. | |
| Dime Community Bancshares, Inc. | |
| | |
| | |
| Enterprise Financial Services Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| First Citizens BancShares, Inc., Class A | |
| First Commonwealth Financial Corp. | |
| | |
| | |
| First Interstate BancSystem, Inc., Class A | |
| | |
| | |
| | |
| | |
| Heartland Financial USA, Inc. | |
| | |
| | |
| | |
| Huntington Bancshares, Inc. | |
| | |
| Independent Bank Group, Inc. | |
| International Bancshares Corp. | |
| | |
| | |
| Live Oak Bancshares, Inc. | |
| | |
| National Bank Holdings Corp., Class A | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| New York Community Bancorp, Inc. | |
| Northwest Bancshares, Inc. | |
| OceanFirst Financial Corp. | |
| | |
| | |
| | |
| Pacific Premier Bancorp, Inc. | |
| | |
| | |
| | |
| Pinnacle Financial Partners, Inc. | |
| PNC Financial Services Group (The), Inc. | |
| | |
| Prosperity Bancshares, Inc. | |
| Provident Financial Services, Inc. | |
| | |
| | |
| Sandy Spring Bancorp, Inc. | |
| Seacoast Banking Corp. of Florida | |
| Simmons First National Corp., Class A | |
| Southside Bancshares, Inc. | |
| | |
| | |
| | |
| Texas Capital Bancshares, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| United Community Banks, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Western Alliance Bancorp (b) | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| Coca-Cola Consolidated, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Ollie’s Bargain Outlet Holdings, Inc. (a) | |
| | |
| | |
| | |
| Fortune Brands Innovations, Inc. | |
| Gibraltar Industries, Inc. (a) | |
| | |
| PGT Innovations, Inc. (a) | |
| Resideo Technologies, Inc. (a) | |
| Simpson Manufacturing Co., Inc. | |
| | |
| | |
| | |
| | |
| Artisan Partners Asset Management, Inc., Class A | |
| Bank of New York Mellon (The) Corp. | |
| | |
| Carlyle Group (The), Inc. | |
| Donnelley Financial Solutions, Inc. (a) | |
| | |
| | |
| | |
| Goldman Sachs Group (The), Inc. | |
| Golub Capital BDC, Inc. (b) | |
| | |
| | |
| Jefferies Financial Group, Inc. | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Capital Markets (Continued) | |
| T. Rowe Price Group, Inc. | |
| Victory Capital Holdings, Inc., Class A | |
| Virtu Financial, Inc., Class A | |
| Virtus Investment Partners, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| LyondellBasell Industries N.V., Class A | |
| | |
| Minerals Technologies, Inc. | |
| | |
| | |
| | |
| Perimeter Solutions S.A. (a) | |
| | |
| Sensient Technologies Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| GEO Group (The), Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Communications Equipment (Continued) | |
| | |
| NetScout Systems, Inc. (a) | |
| | |
| Construction & Engineering | |
| | |
| Granite Construction, Inc. | |
| MDU Resources Group, Inc. | |
| | |
| | |
| | |
| | |
| Martin Marietta Materials, Inc. | |
| Summit Materials, Inc., Class A (c) | |
| | |
| | |
| | |
| Bread Financial Holdings, Inc. | |
| Capital One Financial Corp. | |
| Credit Acceptance Corp. (a) | |
| Discover Financial Services | |
| Encore Capital Group, Inc. (a) | |
| Enova International, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| | |
| BJ’s Wholesale Club Holdings, Inc. (a) | |
| | |
| | |
| Ingles Markets, Inc., Class A | |
| | |
| Performance Food Group Co. (a) | |
| | |
| Sprouts Farmers Market, Inc. (a) | |
| | |
| United Natural Foods, Inc. (a) | |
| US Foods Holding Corp. (a) | |
| | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Packaging Corp. of America | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Consumer Services | |
| | |
| | |
| Graham Holdings Co., Class B | |
| | |
| Strategic Education, Inc. | |
| | |
| | |
| | |
| American Assets Trust, Inc. | |
| Broadstone Net Lease, Inc. | |
| Empire State Realty Trust, Inc., Class A | |
| | |
| | |
| Diversified Telecommunication | |
| | |
| Frontier Communications Parent, Inc. (a) | |
| Liberty Latin America Ltd., Class C (a) | |
| | |
| Verizon Communications, Inc. | |
| | |
| Electric Utilities — 4.0% | |
| | |
| | |
| | |
|
| Electric Utilities (Continued) | |
| American Electric Power Co., Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Hawaiian Electric Industries, Inc. | |
| | |
| Pinnacle West Capital Corp. | |
| Portland General Electric Co. | |
| | |
| | |
| | |
| | |
| Electrical Equipment — 0.5% | |
| | |
| | |
| | |
| GrafTech International Ltd. | |
| | |
| Rockwell Automation, Inc. | |
| | |
| Electronic Equipment, Instruments & Components | |
| Advanced Energy Industries, Inc. | |
| Arrow Electronics, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Insight Enterprises, Inc. (a) | |
| | |
| Methode Electronics, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| TTM Technologies, Inc. (a) | |
| Vishay Intertechnology, Inc. | |
| | |
| Energy Equipment & Services | |
| | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Energy Equipment & Services (Continued) | |
| Oceaneering International, Inc. (a) | |
| ProPetro Holding Corp. (a) | |
| | |
| | |
| | |
| Walt Disney (The) Co. (a) | |
| | |
| Financial Services — 2.3% | |
| Cannae Holdings, Inc. (a) | |
| Compass Diversified Holdings | |
| Corebridge Financial, Inc. | |
| | |
| | |
| | |
| FleetCor Technologies, Inc. (a) | |
| | |
| Jackson Financial, Inc., Class A | |
| | |
| | |
| Mr. Cooper Group, Inc. (a) | |
| NMI Holdings, Inc., Class A (a) | |
| PennyMac Financial Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Archer-Daniels-Midland Co. | |
| | |
| | |
| | |
| | |
| Fresh Del Monte Produce, Inc. | |
| | |
| | |
| | |
| | |
| Mondelez International, Inc., Class A | |
| | |
| | |
| Tyson Foods, Inc., Class A | |
| | |
| | |
| | |
| | |
|
| Gas Utilities (Continued) | |
| Northwest Natural Holding Co. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Hertz Global Holdings, Inc. (a) | |
| J.B. Hunt Transport Services, Inc. | |
| Knight-Swift Transportation Holdings, Inc. | |
| | |
| Schneider National, Inc., Class B | |
| | |
| | |
| | |
| | |
| | |
| Envista Holdings Corp. (a) | |
| | |
| Integer Holdings Corp. (a) | |
| Integra LifeSciences Holdings Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| Apollo Medical Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Laboratory Corp. of America Holdings | |
| | |
| | |
| Molina Healthcare, Inc. (a) | |
| | |
| | |
| Pediatrix Medical Group, Inc. (a) | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Health Care Providers & Services (Continued) | |
| | |
| Select Medical Holdings Corp. | |
| Tenet Healthcare Corp. (a) | |
| | |
| Universal Health Services, Inc., Class B | |
| | |
| | |
| Healthcare Realty Trust, Inc. | |
| Medical Properties Trust, Inc. | |
| National Health Investors, Inc. | |
| | |
| Sabra Health Care REIT, Inc. | |
| | |
| | |
| | |
| | |
| Hotel & Resort REITs — 0.1% | |
| Park Hotels & Resorts, Inc. | |
| Hotels, Restaurants & Leisure | |
| Cracker Barrel Old Country Store, Inc. | |
| Penn Entertainment, Inc. (a) | |
| | |
| Household Durables — 3.8% | |
| Cavco Industries, Inc. (a) | |
| Century Communities, Inc. | |
| | |
| | |
| Green Brick Partners, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Mohawk Industries, Inc. (a) | |
| | |
| | |
| Taylor Morrison Home Corp. (a) | |
| | |
| | |
|
| Household Durables (Continued) | |
| | |
| Tri Pointe Homes, Inc. (a) | |
| | |
| Household Products — 0.3% | |
| Central Garden & Pet Co., Class A (a) | |
| | |
| Procter & Gamble (The) Co. | |
| Reynolds Consumer Products, Inc. | |
| | |
| | |
| Industrial Conglomerates — | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| American Equity Investment Life Holding Co. | |
| American Financial Group, Inc. | |
| American International Group, Inc. | |
| Arch Capital Group Ltd. (a) | |
| | |
| | |
| Axis Capital Holdings Ltd. | |
| Brighthouse Financial, Inc. (a) | |
| | |
| | |
| CNO Financial Group, Inc. | |
| | |
| | |
| Fidelity National Financial, Inc. | |
| First American Financial Corp. | |
| Genworth Financial, Inc., Class A (a) | |
| | |
| Hartford Financial Services Group (The), Inc. | |
| | |
| | |
| Old Republic International Corp. | |
| Principal Financial Group, Inc. | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Reinsurance Group of America, Inc. | |
| Safety Insurance Group, Inc. | |
| | |
| Stewart Information Services Corp. | |
| Travelers (The) Cos., Inc. | |
| | |
| White Mountains Insurance Group Ltd. | |
| | |
| Interactive Media & Services | |
| Alphabet, Inc., Class A (a) | |
| | |
| Meta Platforms, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| Akamai Technologies, Inc. (a) | |
| Cognizant Technology Solutions Corp., Class A | |
| | |
| Kyndryl Holdings, Inc. (a) | |
| | |
| | |
| | |
| Malibu Boats, Inc., Class A (a) | |
| | |
| Life Sciences Tools & Services | |
| Charles River Laboratories International, Inc. (a) | |
| | |
| West Pharmaceutical Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| Mueller Water Products, Inc., Class A | |
| | |
| | |
| | |
| | |
| Stanley Black & Decker, Inc. | |
| | |
| | |
| Westinghouse Air Brake Technologies Corp. | |
| | |
| | |
| | |
| | |
| | |
| | |
| Altice USA, Inc., Class A (a) | |
| | |
| Charter Communications, Inc., Class A (a) | |
| | |
| DISH Network Corp., Class A (a) | |
| | |
| Interpublic Group of (The) Cos., Inc. | |
| John Wiley & Sons, Inc., Class A | |
| New York Times (The) Co., Class A | |
| | |
| Nexstar Media Group, Inc. | |
| | |
| Paramount Global, Class B | |
| | |
| | |
| | |
| Alpha Metallurgical Resources, Inc. | |
| Cleveland-Cliffs, Inc. (a) | |
| | |
| | |
| United States Steel Corp. | |
| | |
| Worthington Industries, Inc. | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Arbor Realty Trust, Inc. (b) | |
| Blackstone Mortgage Trust, Inc., Class A | |
| Claros Mortgage Trust, Inc. | |
| | |
| | |
| | |
| Starwood Property Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Consolidated Edison, Inc. | |
| | |
| | |
| | |
| Public Service Enterprise Group, Inc. | |
| | |
| | |
| | |
| | |
| Alexandria Real Estate Equities, Inc. | |
| | |
| | |
| | |
| Easterly Government Properties, Inc. | |
| | |
| Highwoods Properties, Inc. | |
| Hudson Pacific Properties, Inc. | |
| | |
| | |
| | |
| Piedmont Office Realty Trust, Inc., Class A | |
| SL Green Realty Corp. (b) | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| California Resources Corp. | |
| | |
| | |
| | |
| | |
| | |
|
| Oil, Gas & Consumable Fuels (Continued) | |
| | |
| Gulfport Energy Corp. (a) | |
| | |
| | |
| | |
| | |
| Par Pacific Holdings, Inc. (a) | |
| PBF Energy, Inc., Class A | |
| | |
| | |
| | |
| Southwestern Energy Co. (a) | |
| | |
| | |
| | |
| Paper & Forest Products — | |
| | |
| | |
| | |
| Passenger Airlines — 0.6% | |
| | |
| JetBlue Airways Corp. (a) | |
| | |
| United Airlines Holdings, Inc. (a) | |
| | |
| | |
| Edgewell Personal Care Co. | |
| | |
| | |
| Nu Skin Enterprises, Inc., Class A | |
| | |
| | |
| Elanco Animal Health, Inc. (a) | |
| Ligand Pharmaceuticals, Inc. (a) | |
| | |
| | |
| Supernus Pharmaceuticals, Inc. (a) | |
| | |
| | |
| Professional Services — 1.7% | |
| | |
| CACI International, Inc., Class A (a) | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Professional Services (Continued) | |
| CSG Systems International, Inc. | |
| Dun & Bradstreet Holdings, Inc. | |
| First Advantage Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Science Applications International Corp. | |
| SS&C Technologies Holdings, Inc. | |
| | |
| | |
| | |
| | |
| CBRE Group, Inc., Class A (a) | |
| Jones Lang LaSalle, Inc. (a) | |
| | |
| Newmark Group, Inc., Class A | |
| | |
| | |
| Apartment Income REIT Corp. | |
| AvalonBay Communities, Inc. | |
| | |
| Essex Property Trust, Inc. | |
| | |
| | |
| | |
| InvenTrust Properties Corp. | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| Consensus Cloud Solutions, Inc. (a) | |
| Digital Turbine, Inc. (a) | |
| Dolby Laboratories, Inc., Class A | |
| | |
| | |
| | |
| | |
| Digital Realty Trust, Inc. | |
| | |
| | |
| | |
| | |
| Abercrombie & Fitch Co., Class A (a) | |
| | |
| American Eagle Outfitters, Inc. | |
| Asbury Automotive Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Penske Automotive Group, Inc. | |
| | |
| | |
| Sally Beauty Holdings, Inc. (a) | |
| | |
| Sonic Automotive, Inc., Class A | |
| | |
| | |
| Urban Outfitters, Inc. (a) | |
| Victoria’s Secret & Co. (a) | |
| | |
| | |
| Technology Hardware, Storage | |
| Dell Technologies, Inc., Class C | |
| Hewlett Packard Enterprise Co. | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Textiles, Apparel & Luxury | |
| | |
| Levi Strauss & Co., Class A | |
| | |
| | |
| Skechers U.S.A., Inc., Class A (a) | |
| | |
| Under Armour, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| MSC Industrial Direct Co., Inc., Class A | |
| | |
| Rush Enterprises, Inc., Class A | |
| | |
| | |
| | |
| California Water Service Group | |
| Wireless Telecommunication | |
| Telephone and Data Systems, Inc. | |
| | |
| United States Cellular Corp. (a) | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (d) | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 0.8% |
| BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $1,425,989. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $1,454,329. (e) | |
| | |
|
|
| Total Investments — 100.9% | |
| | |
| Net Other Assets and Liabilities — (0.9)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $1,517,033 and the total value of the collateral held by the Fund is $1,569,992. |
| Non-income producing security which makes payment-in- kind (“PIK”) distributions. For the fiscal year ended July 31, 2023, the Fund received 115 PIK shares of Summit Materials, Inc. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 2.5% | |
| | |
| Axon Enterprise, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Spirit AeroSystems Holdings, Inc., Class A | |
| | |
| | |
| Air Freight & Logistics — | |
| | |
| | |
| Fox Factory Holding Corp. (a) | |
| Luminar Technologies, Inc. (a) (b) | |
| Modine Manufacturing Co. (a) | |
| | |
| | |
| | |
| | |
| | |
| Rivian Automotive, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| Cullen/Frost Bankers, Inc. | |
| | |
| | |
| | |
| Celsius Holdings, Inc. (a) | |
| | |
| Monster Beverage Corp. (a) | |
| | |
| | |
| | |
| ACADIA Pharmaceuticals, Inc. (a) | |
| Agios Pharmaceuticals, Inc. (a) | |
| | |
| Amicus Therapeutics, Inc. (a) | |
| | |
|
| Biotechnology (Continued) | |
| Apellis Pharmaceuticals, Inc. (a) | |
| Bridgebio Pharma, Inc. (a) | |
| Catalyst Pharmaceuticals, Inc. (a) | |
| CRISPR Therapeutics AG (a) | |
| Dynavax Technologies Corp. (a) | |
| | |
| | |
| | |
| | |
| Intellia Therapeutics, Inc. (a) | |
| Ionis Pharmaceuticals, Inc. (a) | |
| Karuna Therapeutics, Inc. (a) | |
| | |
| Morphic Holding, Inc. (a) | |
| | |
| | |
| PTC Therapeutics, Inc. (a) | |
| Recursion Pharmaceuticals, Inc., Class A (a) | |
| REVOLUTION Medicines, Inc. (a) | |
| Rhythm Pharmaceuticals, Inc. (a) | |
| Roivant Sciences Ltd. (a) | |
| Sage Therapeutics, Inc. (a) | |
| TG Therapeutics, Inc. (a) | |
| Twist Bioscience Corp. (a) | |
| Ultragenyx Pharmaceutical, Inc. (a) | |
| | |
| | |
| Vertex Pharmaceuticals, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Advanced Drainage Systems, Inc. | |
| | |
| Armstrong World Industries, Inc. | |
| | |
| Builders FirstSource, Inc. (a) | |
| | |
| | |
| | |
| Hayward Holdings, Inc. (a) | |
| Janus International Group, Inc. (a) | |
| Lennox International, Inc. | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Building Products (Continued) | |
| | |
| | |
| | |
| | |
| Affiliated Managers Group, Inc. | |
| Ameriprise Financial, Inc. | |
| Ares Management Corp., Class A | |
| AssetMark Financial Holdings, Inc. (a) | |
| | |
| | |
| Charles Schwab (The) Corp. | |
| FactSet Research Systems, Inc. | |
| Hamilton Lane, Inc., Class A | |
| Interactive Brokers Group, Inc., Class A | |
| | |
| LPL Financial Holdings, Inc. | |
| | |
| | |
| PJT Partners, Inc., Class A | |
| Raymond James Financial, Inc. | |
| Robinhood Markets, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| Air Products and Chemicals, Inc. | |
| | |
| Axalta Coating Systems Ltd. (a) | |
| | |
| | |
| CF Industries Holdings, Inc. | |
| | |
| | |
| Ginkgo Bioworks Holdings, Inc. (a) (b) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Commercial Services & Supplies (Continued) | |
| Casella Waste Systems, Inc., Class A (a) | |
| | |
| | |
| | |
| Driven Brands Holdings, Inc. (a) | |
| Montrose Environmental Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Arista Networks, Inc. (a) | |
| | |
| CommScope Holding Co., Inc. (a) | |
| Digi International, Inc. (a) | |
| Extreme Networks, Inc. (a) | |
| | |
| | |
| | |
| Construction & Engineering | |
| | |
| Ameresco, Inc., Class A (a) | |
| | |
| Comfort Systems USA, Inc. | |
| Dycom Industries, Inc. (a) | |
| | |
| | |
| | |
| WillScot Mobile Mini Holdings Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| SoFi Technologies, Inc. (a) | |
| | |
| Consumer Staples Distribution | |
| Casey’s General Stores, Inc. | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Consumer Staples Distribution & Retail (Continued) | |
| Chefs’ Warehouse (The), Inc. (a) | |
| | |
| | |
| | |
| Graphic Packaging Holding Co. | |
| | |
| | |
| | |
| | |
| Diversified Consumer Services | |
| Adtalem Global Education, Inc. (a) | |
| | |
| Mister Car Wash, Inc. (a) | |
| | |
| | |
| Diversified Telecommunication | |
| Cogent Communications Holdings, Inc. | |
| Iridium Communications, Inc. | |
| | |
| Electric Utilities — 1.0% | |
| Constellation Energy Corp. | |
| | |
| | |
| | |
| | |
| | |
| Electrical Equipment — 1.9% | |
| | |
| Array Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Shoals Technologies Group, Inc., Class A (a) | |
| | |
| | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
|
| Electronic Equipment, Instruments & Components (Continued) | |
| | |
| | |
| | |
| | |
| Keysight Technologies, Inc. (a) | |
| | |
| | |
| | |
| Teledyne Technologies, Inc. (a) | |
| | |
| Energy Equipment & Services | |
| | |
| | |
| Diamond Offshore Drilling, Inc. (a) | |
| Expro Group Holdings N.V. (a) | |
| | |
| Helix Energy Solutions Group, Inc. (a) | |
| | |
| | |
| Nabors Industries Ltd. (a) | |
| Patterson-UTI Energy, Inc. | |
| ProFrac Holding Corp., Class A (a) | |
| | |
| | |
| | |
| | |
| Weatherford International PLC (a) | |
| | |
| | |
| Cinemark Holdings, Inc. (a) | |
| Endeavor Group Holdings, Inc., Class A (a) | |
| Liberty Media Corp.-Liberty Formula One, Class C (a) | |
| Live Nation Entertainment, Inc. (a) | |
| Madison Square Garden Sports Corp. | |
| ROBLOX Corp., Class A (a) | |
| Sphere Entertainment Co. (a) | |
| | |
| Financial Services — 2.3% | |
| Apollo Global Management, Inc. | |
| AvidXchange Holdings, Inc. (a) | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Financial Services (Continued) | |
| Federal Agricultural Mortgage Corp., Class C | |
| | |
| | |
| Marqeta, Inc., Class A (a) | |
| Mastercard, Inc., Class A | |
| Payoneer Global, Inc. (a) | |
| | |
| Shift4 Payments, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Darling Ingredients, Inc. (a) | |
| | |
| | |
| | |
| | |
| Lamb Weston Holdings, Inc. | |
| | |
| | |
| Tootsie Roll Industries, Inc. | |
| | |
| | |
| | |
| Chesapeake Utilities Corp. | |
| | |
| | |
| | |
| Avis Budget Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Old Dominion Freight Line, Inc. | |
| | |
| Uber Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| Alphatec Holdings, Inc. (a) | |
| | |
| | |
|
| Health Care Equipment & Supplies (Continued) | |
| Boston Scientific Corp. (a) | |
| | |
| Edwards Lifesciences Corp. (a) | |
| | |
| | |
| IDEXX Laboratories, Inc. (a) | |
| Inspire Medical Systems, Inc. (a) | |
| | |
| Intuitive Surgical, Inc. (a) | |
| iRhythm Technologies, Inc. (a) | |
| Lantheus Holdings, Inc. (a) | |
| Merit Medical Systems, Inc. (a) | |
| | |
| | |
| | |
| PROCEPT BioRobotics Corp. (a) | |
| | |
| Shockwave Medical, Inc. (a) | |
| | |
| TransMedics Group, Inc. (a) | |
| Treace Medical Concepts, Inc. (a) | |
| Zimmer Biomet Holdings, Inc. | |
| | |
| | |
| Acadia Healthcare Co., Inc. (a) | |
| | |
| | |
| | |
| | |
| Alignment Healthcare, Inc. (a) | |
| AMN Healthcare Services, Inc. (a) | |
| | |
| | |
| | |
| | |
| Guardant Health, Inc. (a) | |
| | |
| | |
| Hims & Hers Health, Inc. (a) | |
| LifeStance Health Group, Inc. (a) | |
| | |
| Option Care Health, Inc. (a) | |
| Privia Health Group, Inc. (a) | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Health Care Providers & Services (Continued) | |
| | |
| | |
| | |
| | |
| | |
| Omega Healthcare Investors, Inc. | |
| | |
| | |
| | |
| Definitive Healthcare Corp. (a) | |
| Doximity, Inc., Class A (a) | |
| Evolent Health, Inc., Class A (a) | |
| NextGen Healthcare, Inc. (a) | |
| | |
| | |
| | |
| Veeva Systems, Inc., Class A (a) | |
| | |
| Hotel & Resort REITs — 1.0% | |
| Apple Hospitality REIT, Inc. | |
| DiamondRock Hospitality Co. | |
| Host Hotels & Resorts, Inc. | |
| | |
| | |
| Ryman Hospitality Properties, Inc. | |
| | |
| Sunstone Hotel Investors, Inc. | |
| Xenia Hotels & Resorts, Inc. | |
| | |
| Hotels, Restaurants & Leisure | |
| Airbnb, Inc., Class A (a) | |
| | |
| | |
| Booking Holdings, Inc. (a) | |
| | |
| | |
| Brinker International, Inc. (a) | |
| Caesars Entertainment, Inc. (a) | |
| | |
| Cheesecake Factory (The), Inc. | |
| Chipotle Mexican Grill, Inc. (a) | |
| Choice Hotels International, Inc. | |
| | |
| | |
| | |
|
| Hotels, Restaurants & Leisure (Continued) | |
| Dave & Buster’s Entertainment, Inc. (a) | |
| | |
| DraftKings, Inc., Class A (a) | |
| Dutch Bros, Inc., Class A (a) | |
| | |
| Hilton Grand Vacations, Inc. (a) | |
| Hilton Worldwide Holdings, Inc. | |
| Hyatt Hotels Corp., Class A | |
| | |
| Las Vegas Sands Corp. (a) | |
| Life Time Group Holdings, Inc. (a) | |
| | |
| Marriott International, Inc., Class A | |
| Marriott Vacations Worldwide Corp. | |
| | |
| MGM Resorts International | |
| Monarch Casino & Resort, Inc. | |
| Norwegian Cruise Line Holdings Ltd. (a) | |
| Papa John’s International, Inc. | |
| Playa Hotels & Resorts N.V. (a) | |
| Red Rock Resorts, Inc., Class A | |
| Royal Caribbean Cruises Ltd. (a) | |
| | |
| SeaWorld Entertainment, Inc. (a) | |
| Shake Shack, Inc., Class A (a) | |
| Six Flags Entertainment Corp. (a) | |
| | |
| Target Hospitality Corp. (a) (b) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Household Durables — 0.4% | |
| Installed Building Products, Inc. | |
| Skyline Champion Corp. (a) | |
| Tempur Sealy International, Inc. | |
| | |
| Household Products — 0.1% | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Independent Power and Renewable Electricity | |
| | |
| | |
| Sunnova Energy International, Inc. (a) (b) | |
| | |
| | |
| Industrial Conglomerates — | |
| Honeywell International, Inc. | |
| | |
| Americold Realty Trust, Inc. | |
| First Industrial Realty Trust, Inc. | |
| | |
| | |
| | |
| Arthur J. Gallagher & Co. | |
| BRP Group, Inc., Class A (a) | |
| | |
| Kinsale Capital Group, Inc. | |
| Marsh & McLennan Cos., Inc. | |
| Palomar Holdings, Inc. (a) | |
| RenaissanceRe Holdings Ltd. | |
| | |
| Ryan Specialty Holdings, Inc. (a) | |
| | |
| Interactive Media & Services | |
| | |
| | |
| Pinterest, Inc., Class A (a) | |
| | |
| ZipRecruiter, Inc., Class A (a) | |
| | |
| | |
| Cloudflare, Inc., Class A (a) | |
| DigitalOcean Holdings, Inc. (a) | |
| | |
| GoDaddy, Inc., Class A (a) | |
| | |
| | |
| Snowflake, Inc., Class A (a) | |
| Squarespace, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
|
| Leisure Products (Continued) | |
| | |
| Topgolf Callaway Brands Corp. (a) | |
| | |
| Life Sciences Tools & Services | |
| 10X Genomics, Inc., Class A (a) | |
| | |
| | |
| Medpace Holdings, Inc. (a) | |
| OmniAb, Inc. - 12.5 Earnout Shares (a) (d) (e) (f) (g) | |
| OmniAb, Inc. - 15 Earnout Shares (a) (d) (e) (f) (g) | |
| Pacific Biosciences of California, Inc. (a) | |
| | |
| | |
| Albany International Corp., Class A | |
| Allison Transmission Holdings, Inc. | |
| | |
| | |
| | |
| Energy Recovery, Inc. (a) | |
| | |
| | |
| | |
| | |
| Franklin Electric Co., Inc. | |
| | |
| Helios Technologies, Inc. | |
| | |
| | |
| Illinois Tool Works, Inc. | |
| | |
| | |
| | |
| Lincoln Electric Holdings, Inc. | |
| | |
| | |
| | |
| | |
| Standex International Corp. | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Watts Water Technologies, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Reliance Steel & Aluminum Co. | |
| | |
| | |
| | |
| Annaly Capital Management, Inc. | |
| Apollo Commercial Real Estate Finance, Inc. | |
| | |
| Franklin BSP Realty Trust, Inc. | |
| | |
| New York Mortgage Trust, Inc. | |
| PennyMac Mortgage Investment Trust | |
| Two Harbors Investment Corp. | |
| | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| Antero Resources Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Earthstone Energy, Inc., Class A (a) | |
| | |
|
| Oil, Gas & Consumable Fuels (Continued) | |
| | |
| | |
| Equitrans Midstream Corp. | |
| | |
| | |
| | |
| International Seaways, Inc. | |
| | |
| | |
| | |
| Magnolia Oil & Gas Corp., Class A | |
| | |
| | |
| Northern Oil and Gas, Inc. | |
| Occidental Petroleum Corp. | |
| | |
| | |
| Pioneer Natural Resources Co. | |
| | |
| Sitio Royalties Corp., Class A (b) | |
| | |
| Williams (The) Cos., Inc. | |
| | |
| Passenger Airlines — 0.6% | |
| American Airlines Group, Inc. (a) | |
| | |
| | |
| | |
| Beauty Health (The) Co. (a) | |
| BellRing Brands, Inc. (a) | |
| | |
| | |
| | |
| | |
| Amphastar Pharmaceuticals, Inc. (a) | |
| Corcept Therapeutics, Inc. (a) | |
| | |
| Harmony Biosciences Holdings, Inc. (a) | |
| Intra-Cellular Therapies, Inc. (a) | |
| | |
| Reata Pharmaceuticals, Inc., Class A (a) | |
| Revance Therapeutics, Inc. (a) | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Professional Services — 1.5% | |
| | |
| Ceridian HCM Holding, Inc. (a) | |
| | |
| ExlService Holdings, Inc. (a) | |
| Huron Consulting Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| DigitalBridge Group, Inc. | |
| Howard Hughes (The) Corp. (a) | |
| Kennedy-Wilson Holdings, Inc. | |
| Opendoor Technologies, Inc. (a) | |
| | |
| | |
| | |
| American Homes 4 Rent, Class A | |
| Apartment Investment and Management Co., Class A | |
| | |
| Independence Realty Trust, Inc. | |
| | |
| | |
| Veris Residential, Inc. (a) | |
| | |
| | |
| | |
| | |
| Tanger Factory Outlet Centers, Inc. | |
| | |
| Semiconductors & Semiconductor Equipment | |
| Allegro MicroSystems, Inc. (a) | |
| | |
| | |
| Axcelis Technologies, Inc. (a) | |
| | |
| | |
| | |
|
| Semiconductors & Semiconductor Equipment (Continued) | |
| Credo Technology Group Holding Ltd. (a) | |
| | |
| | |
| | |
| | |
| | |
| Lattice Semiconductor Corp. (a) | |
| MACOM Technology Solutions Holdings, Inc. (a) | |
| | |
| Microchip Technology, Inc. | |
| Monolithic Power Systems, Inc. | |
| | |
| | |
| ON Semiconductor Corp. (a) | |
| Onto Innovation, Inc. (a) | |
| | |
| | |
| | |
| Silicon Laboratories, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Alkami Technology, Inc. (a) | |
| Altair Engineering, Inc., Class A (a) | |
| | |
| Appfolio, Inc., Class A (a) | |
| Appian Corp., Class A (a) | |
| | |
| | |
| Bentley Systems, Inc., Class B | |
| | |
| | |
| | |
| | |
| Cadence Design Systems, Inc. (a) | |
| CCC Intelligent Solutions Holdings, Inc. (a) | |
| Clear Secure, Inc., Class A | |
| CommVault Systems, Inc. (a) | |
| Confluent, Inc., Class A (a) | |
| Crowdstrike Holdings, Inc., Class A (a) | |
| Datadog, Inc., Class A (a) | |
| DoubleVerify Holdings, Inc. (a) | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Dropbox, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Freshworks, Inc., Class A (a) | |
| Gitlab, Inc., Class A (a) | |
| Guidewire Software, Inc. (a) | |
| HashiCorp, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Manhattan Associates, Inc. (a) | |
| | |
| | |
| MicroStrategy, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Nutanix, Inc., Class A (a) | |
| | |
| Palantir Technologies, Inc., Class A (a) | |
| Palo Alto Networks, Inc. (a) | |
| Procore Technologies, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| RingCentral, Inc., Class A (a) | |
| Samsara, Inc., Class A (a) | |
| SentinelOne, Inc., Class A (a) | |
| | |
| Smartsheet, Inc., Class A (a) | |
| | |
| Sprinklr, Inc., Class A (a) | |
| | |
| | |
| Tenable Holdings, Inc. (a) | |
| Tyler Technologies, Inc. (a) | |
| UiPath, Inc., Class A (a) | |
| Varonis Systems, Inc. (a) | |
| Workday, Inc., Class A (a) | |
| | |
| | |
|
| | |
| Zeta Global Holdings Corp., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Lamar Advertising Co., Class A | |
| | |
| | |
| | |
| | |
| | |
| Academy Sports & Outdoors, Inc. | |
| | |
| Boot Barn Holdings, Inc. (a) | |
| | |
| | |
| Dick’s Sporting Goods, Inc. | |
| | |
| Floor & Decor Holdings, Inc., Class A (a) | |
| | |
| | |
| | |
| O’Reilly Automotive, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Technology Hardware, Storage | |
| | |
| Pure Storage, Inc., Class A (a) | |
| Super Micro Computer, Inc. (a) | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| Deckers Outdoor Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Applied Industrial Technologies, Inc. | |
| Beacon Roofing Supply, Inc. (a) | |
| Core & Main, Inc., Class A (a) | |
| Custom Truck One Source, Inc. (a) | |
| | |
| | |
| | |
| H&E Equipment Services, Inc. | |
| | |
| | |
| | |
| | |
| | |
| WESCO International, Inc. | |
| Xometry, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| Wireless Telecommunication | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (h) (i) | |
| Morgan Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional Class - 5.13% (h) | |
| | |
| | |
| | |
REPURCHASE AGREEMENTS — 0.4% |
| BNP Paribas S.A., 5.24% (h), dated 07/31/23, due 08/01/23, with a maturity value of $742,494. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $757,250. (i) | |
| | |
|
|
| Total Investments — 100.5% | |
| | |
| Net Other Assets and Liabilities — (0.5)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $822,208 and the total value of the collateral held by the Fund is $817,475. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| Restricted security as to resale, excluding Rule 144A securities (see Note2F - Restricted Securities in the Notes to Financial Statements). |
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At July 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
See Notes to Financial Statements
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
Portfolio of Investments (Continued)
July 31, 2023
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
Life Sciences Tools & Services | | | | |
Other Industry Categories* | | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
| Investments are valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 31, 2023, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 1.0% | |
| Huntington Ingalls Industries, Inc. | |
| | |
| | |
| Air Freight & Logistics — | |
| C.H. Robinson Worldwide, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| First Citizens BancShares, Inc., Class A | |
| | |
| First Interstate BancSystem, Inc., Class A | |
| | |
| | |
| | |
| | |
| New York Community Bancorp, Inc. | |
| | |
| Pinnacle Financial Partners, Inc. | |
| | |
| Prosperity Bancshares, Inc. | |
| | |
| | |
| | |
| | |
| United Community Banks, Inc. | |
| | |
| | |
| Western Alliance Bancorp (b) | |
| | |
| | |
| | |
| | |
|
| | |
| Coca-Cola Consolidated, Inc. | |
| | |
| | |
| | |
| Ollie’s Bargain Outlet Holdings, Inc. (a) | |
| | |
| | |
| Fortune Brands Innovations, Inc. | |
| | |
| Simpson Manufacturing Co., Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Jefferies Financial Group, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Construction & Engineering | |
| MDU Resources Group, Inc. | |
| | |
| Summit Materials, Inc., Class A (c) | |
| | |
| | |
| Credit Acceptance Corp. (a) | |
See Notes to Financial Statements
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Consumer Finance (Continued) | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| BJ’s Wholesale Club Holdings, Inc. (a) | |
| Performance Food Group Co. (a) | |
| Sprouts Farmers Market, Inc. (a) | |
| US Foods Holding Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Telecommunication | |
| Frontier Communications Parent, Inc. (a) | |
| | |
| | |
| Electric Utilities — 2.1% | |
| | |
| Hawaiian Electric Industries, Inc. | |
| | |
| Pinnacle West Capital Corp. | |
| Portland General Electric Co. | |
| | |
| Electrical Equipment — 0.8% | |
| | |
| | |
| | |
| | |
| Electronic Equipment, Instruments & Components | |
| Advanced Energy Industries, Inc. | |
| Arrow Electronics, Inc. (a) | |
| | |
| | |
| Insight Enterprises, Inc. (a) | |
| | |
|
| Electronic Equipment, Instruments & Components (Continued) | |
| | |
| | |
| | |
| | |
| Energy Equipment & Services | |
| | |
| Financial Services — 3.7% | |
| | |
| | |
| Jackson Financial, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Hertz Global Holdings, Inc. (a) | |
| Knight-Swift Transportation Holdings, Inc. | |
| | |
| | |
| | |
| Envista Holdings Corp. (a) | |
| Integra LifeSciences Holdings Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Select Medical Holdings Corp. | |
See Notes to Financial Statements
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Health Care Providers & Services (Continued) | |
| Tenet Healthcare Corp. (a) | |
| Universal Health Services, Inc., Class B | |
| | |
| | |
| Healthcare Realty Trust, Inc. | |
| Medical Properties Trust, Inc. | |
| | |
| | |
| Hotels, Restaurants & Leisure | |
| Penn Entertainment, Inc. (a) | |
| Household Durables — 3.1% | |
| | |
| | |
| Mohawk Industries, Inc. (a) | |
| Taylor Morrison Home Corp. (a) | |
| | |
| | |
| | |
| Household Products — 0.1% | |
| Reynolds Consumer Products, Inc. | |
| | |
| | |
| | |
| American Equity Investment Life Holding Co. | |
| American Financial Group, Inc. | |
| | |
| | |
| Axis Capital Holdings Ltd. | |
| Brighthouse Financial, Inc. (a) | |
| Fidelity National Financial, Inc. | |
| First American Financial Corp. | |
| | |
| Old Republic International Corp. | |
| Reinsurance Group of America, Inc. | |
| | |
| White Mountains Insurance Group Ltd. | |
| | |
| Interactive Media & Services | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| DISH Network Corp., Class A (a) | |
| New York Times (The) Co., Class A | |
| | |
| Nexstar Media Group, Inc. | |
| | |
| | |
| Cleveland-Cliffs, Inc. (a) | |
| United States Steel Corp. | |
| | |
| | |
| Blackstone Mortgage Trust, Inc., Class A (b) | |
| | |
| Starwood Property Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| | |
| | |
| | |
| PBF Energy, Inc., Class A | |
| | |
| | |
| Southwestern Energy Co. (a) | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Paper & Forest Products — | |
| | |
| | |
| Elanco Animal Health, Inc. (a) | |
| | |
| | |
| | |
| Professional Services — 3.0% | |
| | |
| CACI International, Inc., Class A (a) | |
| | |
| Dun & Bradstreet Holdings, Inc. | |
| | |
| | |
| | |
| Science Applications International Corp. | |
| | |
| | |
| | |
| Jones Lang LaSalle, Inc. (a) | |
| | |
| Apartment Income REIT Corp. | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| | |
| | |
| Dolby Laboratories, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| Asbury Automotive Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Penske Automotive Group, Inc. | |
| | |
|
| Specialty Retail (Continued) | |
| | |
| | |
| Victoria’s Secret & Co. (a) | |
| | |
| | |
| Technology Hardware, Storage | |
| Dell Technologies, Inc., Class C | |
| Textiles, Apparel & Luxury | |
| | |
| | |
| Skechers U.S.A., Inc., Class A (a) | |
| Under Armour, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| MSC Industrial Direct Co., Inc., Class A | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.2% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (d) (e) | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
Portfolio of Investments (Continued)
July 31, 2023
| | |
REPURCHASE AGREEMENTS — 1.6% |
| BNP Paribas S.A., 5.24% (d), dated 07/31/23, due 08/01/23, with a maturity value of $3,734,390. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $3,808,607. (e) | |
| | |
|
|
| Total Investments — 101.7% | |
| | |
| Net Other Assets and Liabilities — (1.7)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $3,978,407 and the total value of the collateral held by the Fund is $4,111,508. |
| Non-income producing security which makes payment-in- kind (“PIK”) distributions. There were no in-kind distributions received for the fiscal year ended July 31, 2023. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 1.7% | |
| | |
| | |
| | |
| Spirit AeroSystems Holdings, Inc., Class A | |
| | |
| | |
| Fox Factory Holding Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| Cullen/Frost Bankers, Inc. | |
| | |
| Celsius Holdings, Inc. (a) | |
| | |
| | |
| Amicus Therapeutics, Inc. (a) | |
| Apellis Pharmaceuticals, Inc. (a) | |
| CRISPR Therapeutics AG (a) | |
| | |
| | |
| Intellia Therapeutics, Inc. (a) | |
| Ionis Pharmaceuticals, Inc. (a) | |
| Karuna Therapeutics, Inc. (a) | |
| | |
| Roivant Sciences Ltd. (a) | |
| | |
| | |
| | |
| | |
| | |
| Advanced Drainage Systems, Inc. | |
| | |
| Armstrong World Industries, Inc. | |
| | |
| Builders FirstSource, Inc. (a) | |
| Lennox International, Inc. | |
| | |
| | |
| | |
| Affiliated Managers Group, Inc. | |
| Interactive Brokers Group, Inc., Class A | |
| | |
|
| Capital Markets (Continued) | |
| Robinhood Markets, Inc., Class A (a) | |
| | |
| | |
| | |
| Axalta Coating Systems Ltd. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Casella Waste Systems, Inc., Class A (a) | |
| | |
| Driven Brands Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Construction & Engineering | |
| | |
| | |
| Comfort Systems USA, Inc. | |
| | |
| | |
| WillScot Mobile Mini Holdings Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| SoFi Technologies, Inc. (a) | |
| | |
| Consumer Staples Distribution | |
| Casey’s General Stores, Inc. | |
| | |
| Graphic Packaging Holding Co. | |
| | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Diversified Telecommunication | |
| Iridium Communications, Inc. | |
| Electric Utilities — 0.1% | |
| | |
| Electrical Equipment — 0.7% | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
| | |
| | |
| | |
| Energy Equipment & Services | |
| | |
| | |
| | |
| Patterson-UTI Energy, Inc. | |
| | |
| Weatherford International PLC (a) | |
| | |
| | |
| Endeavor Group Holdings, Inc., Class A (a) | |
| Madison Square Garden Sports Corp. | |
| | |
| Financial Services — 1.7% | |
| Shift4 Payments, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Darling Ingredients, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Avis Budget Group, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
|
| | |
| | |
| Inspire Medical Systems, Inc. (a) | |
| Lantheus Holdings, Inc. (a) | |
| Merit Medical Systems, Inc. (a) | |
| | |
| Shockwave Medical, Inc. (a) | |
| | |
| | |
| Acadia Healthcare Co., Inc. (a) | |
| | |
| AMN Healthcare Services, Inc. (a) | |
| | |
| | |
| | |
| Option Care Health, Inc. (a) | |
| | |
| | |
| Omega Healthcare Investors, Inc. | |
| | |
| Doximity, Inc., Class A (a) | |
| | |
| | |
| Hotel & Resort REITs — 0.7% | |
| Apple Hospitality REIT, Inc. | |
| Ryman Hospitality Properties, Inc. | |
| | |
| Hotels, Restaurants & Leisure | |
| | |
| | |
| Caesars Entertainment, Inc. (a) | |
| | |
| Choice Hotels International, Inc. | |
| | |
| DraftKings, Inc., Class A (a) | |
| Hilton Grand Vacations, Inc. (a) | |
| Hyatt Hotels Corp., Class A | |
| Life Time Group Holdings, Inc. (a) | |
| | |
| Marriott Vacations Worldwide Corp. | |
| Norwegian Cruise Line Holdings Ltd. (a) | |
| SeaWorld Entertainment, Inc. (a) | |
| | |
See Notes to Financial Statements
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Hotels, Restaurants & Leisure (Continued) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Household Durables — 0.5% | |
| Tempur Sealy International, Inc. | |
| Independent Power and Renewable Electricity | |
| | |
| | |
| Americold Realty Trust, Inc. | |
| First Industrial Realty Trust, Inc. | |
| | |
| | |
| | |
| Kinsale Capital Group, Inc. | |
| RenaissanceRe Holdings Ltd. | |
| | |
| Ryan Specialty Holdings, Inc. (a) | |
| | |
| | |
| | |
| Topgolf Callaway Brands Corp. (a) | |
| | |
| Life Sciences Tools & Services | |
| 10X Genomics, Inc., Class A (a) | |
| | |
| Medpace Holdings, Inc. (a) | |
| | |
| | |
| Albany International Corp., Class A | |
| Allison Transmission Holdings, Inc. | |
| | |
| | |
| Franklin Electric Co., Inc. | |
| | |
| | |
| Lincoln Electric Holdings, Inc. | |
| | |
| | |
| | |
|
| | |
| | |
| Watts Water Technologies, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| Annaly Capital Management, Inc. | |
| | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| Antero Resources Corp. (a) | |
| | |
| | |
| | |
| | |
| Magnolia Oil & Gas Corp., Class A | |
| | |
| | |
| | |
| | |
| Passenger Airlines — 0.7% | |
| American Airlines Group, Inc. (a) | |
| | |
| BellRing Brands, Inc. (a) | |
| | |
| | |
| | |
| Intra-Cellular Therapies, Inc. (a) | |
| Professional Services — 1.3% | |
| Ceridian HCM Holding, Inc. (a) | |
| ExlService Holdings, Inc. (a) | |
| | |
| | |
| | |
| | |
| Howard Hughes (The) Corp. (a) | |
See Notes to Financial Statements
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| American Homes 4 Rent, Class A | |
| Independence Realty Trust, Inc. | |
| | |
| | |
| | |
| Semiconductors & Semiconductor Equipment | |
| Allegro MicroSystems, Inc. (a) | |
| Axcelis Technologies, Inc. (a) | |
| | |
| | |
| Lattice Semiconductor Corp. (a) | |
| MACOM Technology Solutions Holdings, Inc. (a) | |
| Onto Innovation, Inc. (a) | |
| | |
| | |
| Silicon Laboratories, Inc. (a) | |
| | |
| | |
| | |
| Bentley Systems, Inc., Class B | |
| | |
| CCC Intelligent Solutions Holdings, Inc. (a) | |
| Confluent, Inc., Class A (a) | |
| DoubleVerify Holdings, Inc. (a) | |
| Dropbox, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Gitlab, Inc., Class A (a) | |
| Guidewire Software, Inc. (a) | |
| Manhattan Associates, Inc. (a) | |
| | |
| Nutanix, Inc., Class A (a) | |
| Procore Technologies, Inc. (a) | |
| | |
| Smartsheet, Inc., Class A (a) | |
| | |
| Tenable Holdings, Inc. (a) | |
| UiPath, Inc., Class A (a) | |
| | |
| | |
| | |
|
| | |
| | |
| Lamar Advertising Co., Class A | |
| | |
| | |
| Academy Sports & Outdoors, Inc. | |
| | |
| Dick’s Sporting Goods, Inc. | |
| | |
| Floor & Decor Holdings, Inc., Class A (a) | |
| | |
| | |
| | |
| Technology Hardware, Storage | |
| Pure Storage, Inc., Class A (a) | |
| Super Micro Computer, Inc. (a) | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| Deckers Outdoor Corp. (a) | |
| | |
| | |
| | |
| Applied Industrial Technologies, Inc. | |
| Beacon Roofing Supply, Inc. (a) | |
| Core & Main, Inc., Class A (a) | |
| | |
| | |
| WESCO International, Inc. | |
| | |
|
|
| Total Investments — 100.0% | |
| | |
| Net Other Assets and Liabilities — 0.0% | |
| | |
| Non-income producing security. |
See Notes to Financial Statements
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
Portfolio of Investments (Continued)
July 31, 2023
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 0.4% | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| Air Transport Services Group, Inc. (a) | |
| Hub Group, Inc., Class A (a) | |
| | |
| | |
| Dorman Products, Inc. (a) | |
| Goodyear Tire & Rubber (The) Co. (a) | |
| | |
| | |
| | |
| | |
| Winnebago Industries, Inc. | |
| | |
| | |
| | |
| | |
| Atlantic Union Bankshares Corp. | |
| | |
| | |
| | |
| | |
| | |
| Berkshire Hills Bancorp, Inc. | |
| | |
| Capitol Federal Financial, Inc. | |
| | |
| Columbia Banking System, Inc. | |
| Community Bank System, Inc. | |
| Dime Community Bancshares, Inc. | |
| | |
| Enterprise Financial Services Corp. | |
| | |
| | |
| | |
| | |
| First Commonwealth Financial Corp. | |
| | |
| | |
| | |
| Heartland Financial USA, Inc. | |
| | |
|
| | |
| | |
| | |
| Independent Bank Group, Inc. | |
| International Bancshares Corp. | |
| Live Oak Bancshares, Inc. | |
| National Bank Holdings Corp., Class A | |
| | |
| Northwest Bancshares, Inc. | |
| OceanFirst Financial Corp. | |
| | |
| | |
| Pacific Premier Bancorp, Inc. | |
| | |
| | |
| | |
| Provident Financial Services, Inc. | |
| | |
| Sandy Spring Bancorp, Inc. | |
| Seacoast Banking Corp. of Florida | |
| Simmons First National Corp., Class A | |
| Southside Bancshares, Inc. | |
| | |
| Texas Capital Bancshares, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Gibraltar Industries, Inc. (a) | |
| PGT Innovations, Inc. (a) | |
| Resideo Technologies, Inc. (a) | |
| | |
| | |
| Artisan Partners Asset Management, Inc., Class A | |
| Donnelley Financial Solutions, Inc. (a) | |
| Golub Capital BDC, Inc. (b) | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Capital Markets (Continued) | |
| Victory Capital Holdings, Inc., Class A | |
| Virtu Financial, Inc., Class A | |
| Virtus Investment Partners, Inc. | |
| | |
| | |
| | |
| | |
| | |
| Minerals Technologies, Inc. | |
| Perimeter Solutions S.A. (a) | |
| Sensient Technologies Corp. | |
| | |
| | |
| | |
| | |
| | |
| GEO Group (The), Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| NetScout Systems, Inc. (a) | |
| | |
| Construction & Engineering | |
| | |
| Granite Construction, Inc. | |
| | |
| | |
| | |
| | |
| Bread Financial Holdings, Inc. | |
| Encore Capital Group, Inc. (a) | |
| Enova International, Inc. (a) | |
| | |
| | |
| | |
| | |
| Consumer Staples Distribution | |
| | |
| Ingles Markets, Inc., Class A | |
| | |
| | |
|
| Consumer Staples Distribution & Retail (Continued) | |
| United Natural Foods, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Diversified Consumer Services | |
| | |
| | |
| Graham Holdings Co., Class B | |
| | |
| Strategic Education, Inc. | |
| | |
| | |
| | |
| American Assets Trust, Inc. | |
| Broadstone Net Lease, Inc. | |
| Empire State Realty Trust, Inc., Class A | |
| | |
| | |
| Diversified Telecommunication | |
| Liberty Latin America Ltd., Class C (a) | |
| Electrical Equipment — 0.5% | |
| GrafTech International Ltd. | |
| Electronic Equipment, Instruments & Components | |
| | |
| Methode Electronics, Inc. | |
| | |
| | |
| | |
| TTM Technologies, Inc. (a) | |
| Vishay Intertechnology, Inc. | |
| | |
| Energy Equipment & Services | |
| | |
| Oceaneering International, Inc. (a) | |
| ProPetro Holding Corp. (a) | |
| | |
See Notes to Financial Statements
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Financial Services — 3.0% | |
| Cannae Holdings, Inc. (a) | |
| Compass Diversified Holdings | |
| | |
| | |
| Mr. Cooper Group, Inc. (a) | |
| NMI Holdings, Inc., Class A (a) | |
| PennyMac Financial Services, Inc. | |
| | |
| | |
| | |
| Fresh Del Monte Produce, Inc. | |
| | |
| Northwest Natural Holding Co. | |
| | |
| | |
| | |
| Schneider National, Inc., Class B | |
| | |
| | |
| | |
| | |
| Integer Holdings Corp. (a) | |
| | |
| | |
| Apollo Medical Holdings, Inc. (a) | |
| | |
| | |
| | |
| Pediatrix Medical Group, Inc. (a) | |
| | |
| | |
| National Health Investors, Inc. | |
| Sabra Health Care REIT, Inc. | |
| | |
| | |
| | |
| Hotel & Resort REITs — 0.6% | |
| Park Hotels & Resorts, Inc. | |
| Hotels, Restaurants & Leisure | |
| Cracker Barrel Old Country Store, Inc. | |
| | |
|
| Household Durables — 5.1% | |
| Cavco Industries, Inc. (a) | |
| Century Communities, Inc. | |
| Green Brick Partners, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| Tri Pointe Homes, Inc. (a) | |
| | |
| Household Products — 0.5% | |
| Central Garden & Pet Co., Class A (a) | |
| | |
| | |
| | |
| | |
| | |
| CNO Financial Group, Inc. | |
| | |
| Genworth Financial, Inc., Class A (a) | |
| Safety Insurance Group, Inc. | |
| | |
| Stewart Information Services Corp. | |
| | |
| Interactive Media & Services | |
| | |
| | |
| | |
| | |
| Kyndryl Holdings, Inc. (a) | |
| | |
| Malibu Boats, Inc., Class A (a) | |
| | |
| | |
| | |
| | |
| Mueller Water Products, Inc., Class A | |
| | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Altice USA, Inc., Class A (a) | |
| John Wiley & Sons, Inc., Class A | |
| | |
| | |
| | |
| Alpha Metallurgical Resources, Inc. | |
| | |
| | |
| Worthington Industries, Inc. | |
| | |
| | |
| Arbor Realty Trust, Inc. (b) | |
| Claros Mortgage Trust, Inc. | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Easterly Government Properties, Inc. | |
| | |
| Highwoods Properties, Inc. | |
| Hudson Pacific Properties, Inc. | |
| | |
| | |
| Piedmont Office Realty Trust, Inc., Class A | |
| SL Green Realty Corp. (b) | |
| | |
| Oil, Gas & Consumable Fuels | |
| | |
| California Resources Corp. | |
| | |
| | |
| Gulfport Energy Corp. (a) | |
| Par Pacific Holdings, Inc. (a) | |
| | |
| | |
| Paper & Forest Products — | |
| | |
| | |
|
| Passenger Airlines — 0.3% | |
| | |
| JetBlue Airways Corp. (a) | |
| | |
| | |
| Edgewell Personal Care Co. | |
| | |
| | |
| Nu Skin Enterprises, Inc., Class A | |
| | |
| | |
| Ligand Pharmaceuticals, Inc. (a) | |
| Supernus Pharmaceuticals, Inc. (a) | |
| | |
| Professional Services — 0.6% | |
| CSG Systems International, Inc. | |
| First Advantage Corp. (a) | |
| | |
| | |
| | |
| | |
| | |
| Newmark Group, Inc., Class A | |
| | |
| | |
| | |
| InvenTrust Properties Corp. | |
| | |
| Semiconductors & Semiconductor Equipment | |
| | |
| | |
| | |
| Consensus Cloud Solutions, Inc. (a) | |
| Digital Turbine, Inc. (a) | |
| | |
| | |
| | |
| Abercrombie & Fitch Co., Class A (a) | |
| American Eagle Outfitters, Inc. | |
| | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Specialty Retail (Continued) | |
| Sally Beauty Holdings, Inc. (a) | |
| Sonic Automotive, Inc., Class A | |
| | |
| Urban Outfitters, Inc. (a) | |
| | |
| Technology Hardware, Storage | |
| | |
| Textiles, Apparel & Luxury | |
| | |
| Levi Strauss & Co., Class A | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Rush Enterprises, Inc., Class A | |
| | |
| | |
| | |
| California Water Service Group | |
| Wireless Telecommunication | |
| Telephone and Data Systems, Inc. | |
| United States Cellular Corp. (a) | |
| | |
| | |
| | |
MONEY MARKET FUNDS — 0.1% |
| Goldman Sachs Financial Square Treasury Obligations Fund - Institutional Class - 5.23% (c) (d) | |
| | |
| | |
REPURCHASE AGREEMENTS — 1.2% |
| BNP Paribas S.A., 5.24% (c), dated 07/31/23, due 08/01/23, with a maturity value of $2,134,264. Collateralized by U.S. Treasury Securities, interest rates of 1.75% to 3.88%, due 12/31/24 to 03/31/25. The value of the collateral including accrued interest is $2,176,680. (d) | |
| | |
|
|
| Total Investments — 101.3% | |
| | |
| Net Other Assets and Liabilities — (1.3)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $2,276,137 and the total value of the collateral held by the Fund is $2,349,793. |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
| | | | |
| | | | |
| | | | |
| | | | |
| See Portfolio of Investments for industry breakout. |
See Notes to Financial Statements
First Trust Small Cap Value AlphaDEX® Fund (FYT)
Portfolio of Investments (Continued)
July 31, 2023
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| At July 31, 2023, the value of the collateral received from each borrower exceeded the value of the related securities loaned. This amount is disclosed on the Portfolio of Investments. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Portfolio of Investments
July 31, 2023
| | |
|
| Aerospace & Defense — 1.2% | |
| | |
| | |
| | |
| Air Freight & Logistics — | |
| | |
| | |
| Luminar Technologies, Inc. (a) (b) | |
| Modine Manufacturing Co. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| ACADIA Pharmaceuticals, Inc. (a) | |
| Agios Pharmaceuticals, Inc. (a) | |
| Bridgebio Pharma, Inc. (a) | |
| Catalyst Pharmaceuticals, Inc. (a) | |
| Dynavax Technologies Corp. (a) | |
| | |
| | |
| | |
| Morphic Holding, Inc. (a) | |
| | |
| PTC Therapeutics, Inc. (a) | |
| Recursion Pharmaceuticals, Inc., Class A (a) | |
| REVOLUTION Medicines, Inc. (a) | |
| Rhythm Pharmaceuticals, Inc. (a) | |
| Sage Therapeutics, Inc. (a) | |
| TG Therapeutics, Inc. (a) | |
| Twist Bioscience Corp. (a) | |
| Ultragenyx Pharmaceutical, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
|
| Building Products (Continued) | |
| | |
| Hayward Holdings, Inc. (a) | |
| Janus International Group, Inc. (a) | |
| | |
| | |
| AssetMark Financial Holdings, Inc. (a) | |
| B. Riley Financial, Inc. (b) | |
| Hamilton Lane, Inc., Class A | |
| PJT Partners, Inc., Class A | |
| | |
| | |
| | |
| Ginkgo Bioworks Holdings, Inc. (a) (b) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Montrose Environmental Group, Inc. (a) | |
| | |
| | |
| CommScope Holding Co., Inc. (a) | |
| Digi International, Inc. (a) | |
| Extreme Networks, Inc. (a) | |
| | |
| | |
| Construction & Engineering | |
| Ameresco, Inc., Class A (a) | |
| Dycom Industries, Inc. (a) | |
| | |
| Consumer Staples Distribution | |
| Chefs’ Warehouse (The), Inc. (a) | |
| Diversified Consumer Services | |
| Adtalem Global Education, Inc. (a) | |
| | |
See Notes to Financial Statements
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| Diversified Consumer Services (Continued) | |
| Mister Car Wash, Inc. (a) | |
| | |
| | |
| Diversified Telecommunication | |
| Cogent Communications Holdings, Inc. | |
| Electric Utilities — 0.7% | |
| | |
| | |
| | |
| Electrical Equipment — 2.7% | |
| Array Technologies, Inc. (a) | |
| | |
| Fluence Energy, Inc. (a) (b) | |
| Shoals Technologies Group, Inc., Class A (a) | |
| | |
| | |
| | |
| Electronic Equipment, Instruments & Components | |
| | |
| | |
| | |
| Energy Equipment & Services | |
| Diamond Offshore Drilling, Inc. (a) | |
| Expro Group Holdings N.V. (a) | |
| Helix Energy Solutions Group, Inc. (a) | |
| | |
| Nabors Industries Ltd. (a) | |
| ProFrac Holding Corp., Class A (a) | |
| | |
| | |
| | |
| | |
| Cinemark Holdings, Inc. (a) | |
| Sphere Entertainment Co. (a) | |
| | |
| Financial Services — 2.8% | |
| AvidXchange Holdings, Inc. (a) | |
| Federal Agricultural Mortgage Corp., Class C | |
| | |
|
| Financial Services (Continued) | |
| | |
| Marqeta, Inc., Class A (a) | |
| Payoneer Global, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| Tootsie Roll Industries, Inc. | |
| | |
| | |
| | |
| Chesapeake Utilities Corp. | |
| | |
| | |
| | |
| Alphatec Holdings, Inc. (a) | |
| | |
| | |
| iRhythm Technologies, Inc. (a) | |
| | |
| | |
| PROCEPT BioRobotics Corp. (a) | |
| TransMedics Group, Inc. (a) | |
| Treace Medical Concepts, Inc. (a) | |
| | |
| | |
| | |
| | |
| | |
| Alignment Healthcare, Inc. (a) | |
| | |
| Guardant Health, Inc. (a) | |
| Hims & Hers Health, Inc. (a) | |
| LifeStance Health Group, Inc. (a) | |
| | |
| Privia Health Group, Inc. (a) | |
| | |
| | |
| | |
See Notes to Financial Statements
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| | |
| | |
| Definitive Healthcare Corp. (a) | |
| Evolent Health, Inc., Class A (a) | |
| NextGen Healthcare, Inc. (a) | |
| | |
| | |
| | |
| Hotel & Resort REITs — 2.3% | |
| DiamondRock Hospitality Co. | |
| | |
| | |
| | |
| Sunstone Hotel Investors, Inc. | |
| Xenia Hotels & Resorts, Inc. | |
| | |
| Hotels, Restaurants & Leisure | |
| | |
| | |
| Brinker International, Inc. (a) | |
| Cheesecake Factory (The), Inc. | |
| Dave & Buster’s Entertainment, Inc. (a) | |
| | |
| Dutch Bros, Inc., Class A (a) (b) | |
| | |
| | |
| Monarch Casino & Resort, Inc. | |
| Papa John’s International, Inc. | |
| Playa Hotels & Resorts N.V. (a) | |
| Red Rock Resorts, Inc., Class A | |
| | |
| Shake Shack, Inc., Class A (a) | |
| Six Flags Entertainment Corp. (a) | |
| Target Hospitality Corp. (a) | |
| | |
| Household Durables — 1.1% | |
| Installed Building Products, Inc. | |
| Skyline Champion Corp. (a) | |
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| Household Products — 0.3% | |
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| Independent Power and Renewable Electricity | |
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| Sunnova Energy International, Inc. (a) (b) | |
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| BRP Group, Inc., Class A (a) | |
| Palomar Holdings, Inc. (a) | |
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| Interactive Media & Services | |
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| ZipRecruiter, Inc., Class A (a) | |
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| DigitalOcean Holdings, Inc. (a) | |
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| Squarespace, Inc., Class A (a) | |
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| Life Sciences Tools & Services | |
| OmniAb, Inc. - 12.5 Earnout Shares (a) (d) (e) (f) (g) | |
| OmniAb, Inc. - 15 Earnout Shares (a) (d) (e) (f) (g) | |
| Pacific Biosciences of California, Inc. (a) | |
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| Energy Recovery, Inc. (a) | |
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| Helios Technologies, Inc. | |
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| Standex International Corp. | |
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See Notes to Financial Statements
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
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| Apollo Commercial Real Estate Finance, Inc. | |
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| Franklin BSP Realty Trust, Inc. | |
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| New York Mortgage Trust, Inc. | |
| PennyMac Mortgage Investment Trust | |
| Two Harbors Investment Corp. | |
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| Oil, Gas & Consumable Fuels | |
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| Earthstone Energy, Inc., Class A (a) | |
| Equitrans Midstream Corp. | |
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| International Seaways, Inc. | |
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| Northern Oil and Gas, Inc. | |
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| Sitio Royalties Corp., Class A | |
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| Beauty Health (The) Co. (a) | |
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| Amphastar Pharmaceuticals, Inc. (a) | |
| Corcept Therapeutics, Inc. (a) | |
| Harmony Biosciences Holdings, Inc. (a) | |
| Reata Pharmaceuticals, Inc., Class A (a) | |
| Revance Therapeutics, Inc. (a) | |
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| Professional Services — 2.4% | |
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| Huron Consulting Group, Inc. (a) | |
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| DigitalBridge Group, Inc. | |
| Kennedy-Wilson Holdings, Inc. | |
| Opendoor Technologies, Inc. (a) | |
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| Apartment Investment and Management Co., Class A | |
| Veris Residential, Inc. (a) | |
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| Tanger Factory Outlet Centers, Inc. | |
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| Semiconductors & Semiconductor Equipment | |
| Credo Technology Group Holding Ltd. (a) | |
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| Alkami Technology, Inc. (a) | |
| Altair Engineering, Inc., Class A (a) | |
| Appfolio, Inc., Class A (a) | |
| Appian Corp., Class A (a) | |
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| Clear Secure, Inc., Class A | |
| CommVault Systems, Inc. (a) | |
| Freshworks, Inc., Class A (a) | |
| HashiCorp, Inc., Class A (a) | |
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| MicroStrategy, Inc., Class A (a) | |
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| RingCentral, Inc., Class A (a) | |
See Notes to Financial Statements
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Portfolio of Investments (Continued)
July 31, 2023
| | |
COMMON STOCKS (Continued) |
| | |
| Samsara, Inc., Class A (a) | |
| SentinelOne, Inc., Class A (a) | |
| Sprinklr, Inc., Class A (a) | |
| Varonis Systems, Inc. (a) | |
| Zeta Global Holdings Corp., Class A (a) | |
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| Boot Barn Holdings, Inc. (a) | |
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| Textiles, Apparel & Luxury | |
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| Custom Truck One Source, Inc. (a) | |
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| H&E Equipment Services, Inc. | |
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| Xometry, Inc., Class A (a) | |
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| Wireless Telecommunication | |
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REPURCHASE AGREEMENTS — 1.8% |
| Bank of America Corp., 5.28% (h), dated 07/31/23, due 08/01/23, with a maturity value of $1,951,725. Collateralized by U.S. Treasury Securities, interest rates of 0.13% to 0.38%, due 01/15/27 to 07/15/31. The value of the collateral including accrued interest is $1,990,468. (i) | |
| JPMorgan Chase & Co., 5.28% (h), dated 07/31/23, due 08/01/23, with a maturity value of $2,033,610. Collateralized by U.S. Treasury Securities, interest rates of 0.00% to 7.63%, due 12/31/23 to 08/15/48. The value of the collateral including accrued interest is $2,073,978. (i) | |
| Total Repurchase Agreements | |
| | |
|
|
| Total Investments — 101.7% | |
| | |
| Net Other Assets and Liabilities — (1.7)% | |
| | |
| Non-income producing security. |
| All or a portion of this security is on loan (see Note 2D - Securities Lending in the Notes to Financial Statements). The remaining contractual maturity of all of the securities lending transactions is overnight and continuous. The aggregate value of such securities, including those sold and pending settlement, is $4,006,363 and the total value of the collateral held by the Fund is $3,984,751. |
| This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933, as amended. |
| Pursuant to procedures adopted by the Trust’s Board of Trustees, this security has been determined to be illiquid by First Trust Advisors L.P., the Fund’s advisor. |
| Restricted security as to resale, excluding Rule 144A securities (see Note2F - Restricted Securities in the Notes to Financial Statements). |
See Notes to Financial Statements
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
Portfolio of Investments (Continued)
July 31, 2023
| This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the Investment Company Act of 1940 and rules thereunder, as amended. At July 31, 2023, securities noted as such are valued at $0 or 0.0% of net assets. |
| This security’s value was determined using significant unobservable inputs (see Note2A- Portfolio Valuation in the Notes to Financial Statements). |
| Rate shown reflects yield as of July 31, 2023. |
| This security serves as collateral for securities on loan. |
Valuation InputsA summary of the inputs used to value the Fund’s investments as of July 31, 2023 is as follows (see Note 2A - Portfolio Valuation in the Notes to Financial Statements):
| | | Level 2
Significant
Observable
Inputs | Level 3
Significant
Unobservable
Inputs |
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Life Sciences Tools & Services | | | | |
Other Industry Categories* | | | | |
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| See Portfolio of Investments for industry breakout. |
| Investments are valued at $0. |
Level 3 investments are fair valued by the Advisor’s Pricing Committee and are footnoted in the Portfolio of Investments. All Level 3 values are based on unobservable inputs.
Offsetting Assets and Liabilities
Offsetting assets and liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset, and to disclose instruments and transactions subject to master netting or similar agreements (see Note 2C - Offsetting on the Statements of Assets and Liabilities in the Notes to Financial Statements).
The Fund’s loaned securities were all subject to an enforceable Securities Lending Agency Agreement. Securities lent in accordance with the Securities Lending Agency Agreement on a gross basis were as follows:
Securities Lending Agency Agreement |
Total gross amount presented on the Statements of Assets and Liabilities(1) | |
| |
| |
| The amount presented on the Statements of Assets and Liabilities, which is included in “Investments, at value,” is not offset and is shown on a gross basis. |
| The collateral requirements are determined at the beginning of each business day based on the market value of the loaned securities from the end of the prior day. On July 31, 2023, the last business day of the period, there was sufficient collateral based on the end of day market value from the prior business day; however, as a result of market movement from July 28 to July 31, the value of the related securities loaned was above the collateral value received. See Note 2D - Securities Lending in the Notes to Financial Statements. |
The Fund’s investments in repurchase agreements were all subject to an enforceable Master Repurchase Agreement. Repurchase Agreements on a gross basis were as follows:
|
Total gross amount presented on the Statements of Assets and Liabilities(3) | |
| |
| |
| The amount is included in “Investments, at value” on the Statements of Assets and Liabilities. |
| At July 31, 2023, the value of the collateral received from each seller exceeded the value of the repurchase agreements. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Statements of Assets and Liabilities
July 31, 2023
| First Trust Large Cap Core AlphaDEX® Fund
(FEX) | First Trust Mid Cap Core AlphaDEX® Fund
(FNX) | First Trust Small Cap Core AlphaDEX® Fund
(FYX) |
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Investment securities sold | | | |
Securities lending income | | | |
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Shareholder reporting fees | | | |
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Investment securities purchased | | | |
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Collateral for securities on loan | | | |
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Accumulated distributable earnings (loss) | | | |
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NET ASSET VALUE, per share | | | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | | | |
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Securities on loan, at value | | | |
See Notes to Financial Statements
First Trust Large Cap Value AlphaDEX® Fund
(FTA) | First Trust Large Cap Growth AlphaDEX® Fund
(FTC) | First Trust Multi Cap Value AlphaDEX® Fund
(FAB) | First Trust Multi Cap Growth AlphaDEX® Fund
(FAD) | First Trust Mid Cap Value AlphaDEX® Fund
(FNK) | First Trust Mid Cap Growth AlphaDEX® Fund
(FNY) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Statements of Assets and Liabilities (Continued)
July 31, 2023
| First Trust Small Cap Value AlphaDEX® Fund
(FYT) | First Trust Small Cap Growth AlphaDEX® Fund
(FYC) |
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Investment securities sold | | |
Securities lending income | | |
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Shareholder reporting fees | | |
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Investment securities purchased | | |
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Collateral for securities on loan | | |
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Accumulated distributable earnings (loss) | | |
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NET ASSET VALUE, per share | | |
Number of shares outstanding (unlimited number of shares authorized, par value $0.01 per share) | | |
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Securities on loan, at value | | |
See Notes to Financial Statements
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First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Statements of Operations
For the Year Ended July 31, 2023
| First Trust Large Cap Core AlphaDEX® Fund
(FEX) | First Trust Mid Cap Core AlphaDEX® Fund
(FNX) | First Trust Small Cap Core AlphaDEX® Fund
(FYX) |
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Securities lending income (net of fees) | | | |
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Accounting and administration fees | | | |
Shareholder reporting fees | | | |
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Trustees’ fees and expenses | | | |
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NET INVESTMENT INCOME (LOSS) | | | |
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NET REALIZED AND UNREALIZED GAIN (LOSS): | | | |
Net realized gain (loss) on: | | | |
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Foreign currency transactions | | | |
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Net change in unrealized appreciation (depreciation) on investments | | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | | |
| Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements). |
See Notes to Financial Statements
First Trust Large Cap Value AlphaDEX® Fund
(FTA) | First Trust Large Cap Growth AlphaDEX® Fund
(FTC) | First Trust Multi Cap Value AlphaDEX® Fund
(FAB) | First Trust Multi Cap Growth AlphaDEX® Fund
(FAD) | First Trust Mid Cap Value AlphaDEX® Fund
(FNK) | First Trust Mid Cap Growth AlphaDEX® Fund
(FNY) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Statements of Operations (Continued)
For the Year Ended July 31, 2023
| First Trust Small Cap Value AlphaDEX® Fund
(FYT) | First Trust Small Cap Growth AlphaDEX® Fund
(FYC) |
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Securities lending income (net of fees) | | |
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Accounting and administration fees | | |
Shareholder reporting fees | | |
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Trustees’ fees and expenses | | |
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NET INVESTMENT INCOME (LOSS) | | |
|
NET REALIZED AND UNREALIZED GAIN (LOSS): | | |
Net realized gain (loss) on: | | |
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Foreign currency transactions | | |
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Net change in unrealized appreciation (depreciation) on investments | | |
NET REALIZED AND UNREALIZED GAIN (LOSS) | | |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | | |
| Fund is subject to a unitary fee (see Note 3 in the Notes to Financial Statements). |
See Notes to Financial Statements
This page intentionally left blank.
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Statements of Changes in Net Assets
| First Trust Large Cap Core AlphaDEX® Fund (FEX) | First Trust Mid Cap Core AlphaDEX® Fund (FNX) |
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Net investment income (loss) | | | | |
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Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
| | | | |
|
SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
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Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
|
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CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
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Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Small Cap Core AlphaDEX® Fund (FYX) | First Trust Large Cap Value AlphaDEX® Fund (FTA) | First Trust Large Cap Growth AlphaDEX® Fund (FTC) | First Trust Multi Cap Value AlphaDEX® Fund (FAB) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Statements of Changes in Net Assets (Continued)
| First Trust Multi Cap Growth AlphaDEX® Fund (FAD) | First Trust Mid Cap Value AlphaDEX® Fund (FNK) |
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Net investment income (loss) | | | | |
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Net change in unrealized appreciation (depreciation) | | | | |
Net increase (decrease) in net assets resulting from operations | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | |
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|
SHAREHOLDER TRANSACTIONS: | | | | |
Proceeds from shares sold | | | | |
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Net increase (decrease) in net assets resulting from shareholder transactions | | | | |
Total increase (decrease) in net assets | | | | |
|
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CHANGES IN SHARES OUTSTANDING: | | | | |
Shares outstanding, beginning of period | | | | |
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Shares outstanding, end of period | | | | |
See Notes to Financial Statements
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) | First Trust Small Cap Value AlphaDEX® Fund (FYT) | First Trust Small Cap Growth AlphaDEX® Fund (FYC) |
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See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights
For a share outstanding throughout each period
First Trust Large Cap Core AlphaDEX® Fund (FEX)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Mid Cap Core AlphaDEX® Fund (FNX)
| |
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Small Cap Core AlphaDEX® Fund (FYX)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Large Cap Value AlphaDEX® Fund (FTA)
| |
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (d) | | | | | |
| Based on average shares outstanding. |
| The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Large Cap Growth AlphaDEX® Fund (FTC)
| |
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Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Multi Cap Value AlphaDEX® Fund (FAB)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. The total returns would have been lower if certain fees had not been waived and expenses reimbursed by the investment advisor. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Multi Cap Growth AlphaDEX® Fund (FAD)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Mid Cap Value AlphaDEX® Fund (FNK)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Mid Cap Growth AlphaDEX® Fund (FNY)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Small Cap Value AlphaDEX® Fund (FYT)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (d) | | | | | |
| Based on average shares outstanding. |
| The per share amount does not correlate with the aggregate realized and unrealized gain (loss) due to the timing of the Fund share sales and repurchases in relation to market value fluctuation of the underlying investments. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
Financial Highlights (Continued)
For a share outstanding throughout each period
First Trust Small Cap Growth AlphaDEX® Fund (FYC)
| |
| | | | | |
Net asset value, beginning of period | | | | | |
Income from investment operations: | | | | | |
Net investment income (loss) | | | | | |
Net realized and unrealized gain (loss) | | | | | |
Total from investment operations | | | | | |
Distributions paid to shareholders from: | | | | | |
| | | | | |
Net asset value, end of period | | | | | |
| | | | | |
|
Ratios to average net assets/supplemental data: | | | | | |
Net assets, end of period (in 000’s) | | | | | |
Ratio of total expenses to average net assets | | | | | |
Ratio of net investment income (loss) to average net assets | | | | | |
Portfolio turnover rate (c) | | | | | |
| Based on average shares outstanding. |
| Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all distributions at net asset value during the period, and redemption at net asset value on the last day of the period. The returns presented do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Total return is calculated for the time period presented and is not annualized for periods of less than a year. |
| Portfolio turnover is calculated for the time period presented and is not annualized for periods of less than a year and does not include securities received or delivered from processing creations or redemptions and in-kind transactions. |
See Notes to Financial Statements
Notes to Financial Statements
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
1. Organization
First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”) is an open-end management investment company organized as a Massachusetts business trust on December 6, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”).
The Trust currently consists of twenty exchange-traded funds considered either a Sector Fund or a Style Fund. This report covers the eleven Style Funds (each a “Fund” and collectively, the “Funds”) listed below. The shares of each Style Fund are listed and traded on The Nasdaq Stock Market LLC (“Nasdaq”).
First Trust Large Cap Core AlphaDEX® Fund – (ticker “FEX”) |
First Trust Mid Cap Core AlphaDEX® Fund – (ticker “FNX”) |
First Trust Small Cap Core AlphaDEX® Fund – (ticker “FYX”) |
First Trust Large Cap Value AlphaDEX® Fund – (ticker “FTA”) |
First Trust Large Cap Growth AlphaDEX® Fund – (ticker “FTC”) |
First Trust Multi Cap Value AlphaDEX® Fund – (ticker “FAB”) |
First Trust Multi Cap Growth AlphaDEX® Fund – (ticker “FAD”) |
First Trust Mid Cap Value AlphaDEX® Fund – (ticker “FNK”) |
First Trust Mid Cap Growth AlphaDEX® Fund – (ticker “FNY”) |
First Trust Small Cap Value AlphaDEX® Fund – (ticker “FYT”) |
First Trust Small Cap Growth AlphaDEX® Fund – (ticker “FYC”) |
Each Fund represents a separate series of shares of beneficial interest in the Trust. Unlike conventional mutual funds, each Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares known as “Creation Units.” The investment objective of each Fund is to seek investment results that correspond generally to the price and yield (before the Fund’s fees and expenses) of the following indices:
| |
First Trust Large Cap Core AlphaDEX® Fund | Nasdaq AlphaDEX® Large Cap Core Index |
First Trust Mid Cap Core AlphaDEX® Fund | Nasdaq AlphaDEX® Mid Cap Core Index |
First Trust Small Cap Core AlphaDEX® Fund | Nasdaq AlphaDEX® Small Cap Core Index |
First Trust Large Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Large Cap Value Index |
First Trust Large Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Large Cap Growth Index |
First Trust Multi Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Multi Cap Value Index |
First Trust Multi Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Multi Cap Growth Index |
First Trust Mid Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Mid Cap Value Index |
First Trust Mid Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Mid Cap Growth Index |
First Trust Small Cap Value AlphaDEX® Fund | Nasdaq AlphaDEX® Small Cap Value Index |
First Trust Small Cap Growth AlphaDEX® Fund | Nasdaq AlphaDEX® Small Cap Growth Index |
2. Significant Accounting Policies
The Funds are each considered an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.” The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of the financial statements. The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
A. Portfolio Valuation
Each Fund’s NAV is determined daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Each Fund’s NAV is calculated by dividing the value of all assets of each Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
Each Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent readily available market quotations such as last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Funds’ investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures approved by the Trust’s Board of Trustees, and in accordance with provisions of the 1940 Act and rules thereunder. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. Each Fund’s investments are valued as follows:
Common stocks and other equity securities listed on any national or foreign exchange (excluding Nasdaq and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the primary exchange for such securities.
Shares of open-end funds are valued based on NAV per share.
Equity securities traded in an over-the-counter market are valued at the close price or the last trade price.
Overnight repurchase agreements are valued at amortized cost when it represents the most appropriate reflection of fair market value.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Advisor’s Pricing Committee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
1)
the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price;
3)
the size of the holding;
4)
the initial cost of the security;
5)
transactions in comparable securities;
6)
price quotes from dealers and/or third-party pricing services;
7)
relationships among various securities;
8)
information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
9)
an analysis of the issuer’s financial statements;
10)
the existence of merger proposals or tender offers that might affect the value of the security; and
11)
other relevant factors.
In addition, differences between the prices used to calculate a Fund’s NAV and the prices used by such Fund’s corresponding index could result in a difference between a Fund’s performance and the performance of its underlying index.
The Funds are subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
• Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
• Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
• Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value each Fund’s investments as of July 31, 2023, is included with each Fund’s Portfolio of Investments.
B. Securities Transactions and Investment Income
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income, if any, is recorded on the accrual basis.
Withholding taxes and tax reclaims on foreign dividends have been provided for in accordance with each Fund’s understanding of the applicable country’s tax rules and rates.
Distributions received from a Fund’s investments in real estate investment trusts (“REITs”) may be comprised of return of capital, capital gains and income. The actual character of the amounts received during the year is not known until after the REITs’ fiscal year end. A Fund records the character of distributions received from the REITs during the year based on estimates available. The characterization of distributions received by a Fund may be subsequently revised based on information received from the REITs after their tax reporting periods conclude.
C. Offsetting on the Statements of Assets and Liabilities
Offsetting Assets and Liabilities requires entities to disclose both gross and net information about instruments and transactions eligible for offset on the Statements of Assets and Liabilities and disclose instruments and transactions subject to master netting or similar agreements. These disclosure requirements are intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a Fund’s financial position. The transactions subject to offsetting disclosures are derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions.
This disclosure, if applicable, is included within each Fund’s Portfolio of Investments under the heading “Offsetting Assets and Liabilities.” For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements (“MNAs”) or similar agreements on the Statements of Assets and Liabilities. MNAs provide the right, in the event of default (including bankruptcy and insolvency), for the non-defaulting counterparty to liquidate the collateral and calculate the net exposure to the defaulting party or request additional collateral.
D. Securities Lending
The Funds may lend securities representing up to 33 1/3% of the value of their total assets to broker-dealers, banks and other institutions to generate additional income. When a Fund loans its portfolio securities, it will receive, at the inception of each loan, collateral equal to at least 102% (for domestic securities) or 105% (for international securities) of the market value of the loaned securities. The collateral amount is valued at the beginning of each business day and is compared to the market value of the loaned securities from the prior business day to determine if additional collateral is required. If additional collateral is required, a request is sent to the borrower. Securities lending involves the risk that the Fund may lose money because the borrower of the Fund’s loaned securities fails to return the securities in a timely manner or at all. The Fund could also lose money in the event of (i) a decline in the
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
value of the collateral provided for the loaned securities, (ii) a decline in the value of any investments made with cash collateral or (iii) an increase in the value of the loaned securities if the borrower does not increase the collateral accordingly and the borrower fails to return the securities. These events could also trigger adverse tax consequences for the Funds.
Under the Funds’ Securities Lending Agency Agreement, the securities lending agent will generally bear the risk that a borrower may default on its obligation to return loaned securities. Brown Brothers Harriman & Co. (“BBH”) acts as the Funds’ securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers with the exception of FYC. The Bank of New York Mellon (“BNYM”) acts as FYC’s securities lending agent and is responsible for executing the lending of the portfolio securities to creditworthy borrowers. The Funds, however, will be responsible for the risks associated with the investment of cash collateral. A Fund may lose money on its investment of cash collateral, which may affect its ability to repay the collateral to the borrower without the use of other Fund assets. Each Fund that engages in securities lending receives compensation (net of any rebate and securities lending agent fees) for lending its securities. Compensation can be in the form of fees received from the securities lending agent or dividends or interest earned from the investment of cash collateral. The fees received from the securities lending agent are accrued daily. The dividend and interest earned on the securities loaned is accounted for in the same manner as other dividend and interest income. At July 31, 2023, all the Funds except FEX, FTA, FTC, and FNY had securities in the securities lending program. During the fiscal year ended July 31, 2023, all the Funds participated in the securities lending program.
In the event of a default by a borrower with respect to any loan, BBH or BNYM will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by BBH and BNYM to exercise these remedies, a Fund sustains losses as a result of a borrower’s default, BBH or BNYM will indemnify the Fund by purchasing replacement securities at its own expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Trust on behalf of the Funds and BBH or BNYM.
E. Repurchase Agreements
Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.
MRAs govern transactions between a Fund and select counterparties. The MRAs contain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral for repurchase agreements.
Repurchase agreements received for lending securities are collateralized by U.S. Treasury securities. The U.S. Treasury securities are held in a joint custody account at BBH or BNYM on behalf of the Funds participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury securities can either be maintained as part of a Fund’s portfolio or sold for cash. A Fund could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with the delay and enforcement of the MRA.
While the Funds may invest in repurchase agreements, any repurchase agreements held by the Funds during the fiscal year ended July 31, 2023, were received as collateral for lending securities.
F. Restricted Securities
As of July 31, 2023, FAD and FYC held restricted securities as shown in the following tables that the Advisor has deemed illiquid pursuant to procedures adopted by FAD and FYC’s Board of Trustees.
| | | | | | |
| | | | | | |
OmniAb, Inc. - 12.5 Earnout Shares | | | | | | |
OmniAb, Inc. - 15 Earnout Shares | | | | | | |
| | | | | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
| | | | | | |
| | | | | | |
OmniAb, Inc. - 12.5 Earnout Shares | | | | | | |
OmniAb, Inc. - 15 Earnout Shares | | | | | | |
| | | | | | |
G. Dividends and Distributions to Shareholders
Dividends from net investment income of each Fund, if any, are declared and paid quarterly, or as the Board of Trustees may determine from time to time. Distributions of net realized gains earned by each Fund, if any, are distributed at least annually. A Fund may also designate a portion of the amount paid to redeeming shareholders as a distribution for tax purposes.
Distributions from net investment income and realized capital gains are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Certain capital accounts in the financial statements are periodically adjusted for permanent differences in order to reflect their tax character. These permanent differences are primarily due to the varying treatment of income and gain/loss on significantly modified portfolio securities held by the Funds and have no impact on net assets or NAV per share. Temporary differences, which arise from recognizing certain items of income, expense and gain/loss in different periods for financial statement and tax purposes, will reverse at some time in the future.
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2023 was as follows:
| Distributions
paid from
Ordinary
Income | Distributions
paid from
Capital
Gains | Distributions
paid from
Return of
Capital |
First Trust Large Cap Core AlphaDEX® Fund | | | |
First Trust Mid Cap Core AlphaDEX® Fund | | | |
First Trust Small Cap Core AlphaDEX® Fund | | | |
First Trust Large Cap Value AlphaDEX® Fund | | | |
First Trust Large Cap Growth AlphaDEX® Fund | | | |
First Trust Multi Cap Value AlphaDEX® Fund | | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | | |
First Trust Mid Cap Value AlphaDEX® Fund | | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | | |
First Trust Small Cap Value AlphaDEX® Fund | | | |
First Trust Small Cap Growth AlphaDEX® Fund | | | |
The tax character of distributions paid by each Fund during the fiscal year ended July 31, 2022 was as follows:
| Distributions
paid from
Ordinary
Income | Distributions
paid from
Capital
Gains | Distributions
paid from
Return of
Capital |
First Trust Large Cap Core AlphaDEX® Fund | | | |
First Trust Mid Cap Core AlphaDEX® Fund | | | |
First Trust Small Cap Core AlphaDEX® Fund | | | |
First Trust Large Cap Value AlphaDEX® Fund | | | |
First Trust Large Cap Growth AlphaDEX® Fund | | | |
First Trust Multi Cap Value AlphaDEX® Fund | | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | | |
First Trust Mid Cap Value AlphaDEX® Fund | | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | | |
First Trust Small Cap Value AlphaDEX® Fund | | | |
First Trust Small Cap Growth AlphaDEX® Fund | | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
As of July 31, 2023, the components of distributable earnings on a tax basis for each Fund were as follows:
| Undistributed
Ordinary
Income | Accumulated
Capital and
Other
Gain (Loss) | Net
Unrealized
Appreciation
(Depreciation) |
First Trust Large Cap Core AlphaDEX® Fund | | | |
First Trust Mid Cap Core AlphaDEX® Fund | | | |
First Trust Small Cap Core AlphaDEX® Fund | | | |
First Trust Large Cap Value AlphaDEX® Fund | | | |
First Trust Large Cap Growth AlphaDEX® Fund | | | |
First Trust Multi Cap Value AlphaDEX® Fund | | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | | |
First Trust Mid Cap Value AlphaDEX® Fund | | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | | |
First Trust Small Cap Value AlphaDEX® Fund | | | |
First Trust Small Cap Growth AlphaDEX® Fund | | | |
H. Income Taxes
Each Fund intends to continue to qualify as a regulated investment company by complying with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended, which includes distributing substantially all of its net investment income and net realized gains to shareholders. Accordingly, no provision has been made for federal and state income taxes. However, due to the timing and amount of distributions, each Fund may be subject to an excise tax of 4% of the amount by which approximately 98% of each Fund’s taxable income exceeds the distributions from such taxable income for the calendar year.
The Funds are subject to accounting standards that establish a minimum threshold for recognizing, and a system for measuring, the benefits of a tax position taken or expected to be taken in a tax return. The taxable years ended 2020, 2021, 2022, and 2023 remain open to federal and state audit. As of July 31, 2023, management has evaluated the application of these standards to the Funds and has determined that no provision for income tax is required in the Funds’ financial statements for uncertain tax positions.
Each Fund intends to utilize provisions of the federal income tax laws, which allow it to carry a realized capital loss forward indefinitely following the year of the loss and offset such loss against any future realized capital gains. Each Fund is subject to certain limitations under U.S. tax rules on the use of capital loss carryforwards and net unrealized built-in losses. These limitations apply when there has been a 50% change in ownership. At July 31, 2023, for federal income tax purposes, each applicable Fund had a capital loss carryforward available that is shown in the following table, to the extent provided by regulations, to offset future capital gains. To the extent that these loss carryforwards are used to offset future capital gains, it is probable that the capital gains so offset will not be distributed to each applicable Fund’s shareholders.
| Non-Expiring
Capital Loss
Carryforwards |
First Trust Large Cap Core AlphaDEX® Fund | |
First Trust Mid Cap Core AlphaDEX® Fund | |
First Trust Small Cap Core AlphaDEX® Fund | |
First Trust Large Cap Value AlphaDEX® Fund | |
First Trust Large Cap Growth AlphaDEX® Fund | |
First Trust Multi Cap Value AlphaDEX® Fund | |
First Trust Multi Cap Growth AlphaDEX® Fund | |
First Trust Mid Cap Value AlphaDEX® Fund | |
First Trust Mid Cap Growth AlphaDEX® Fund | |
First Trust Small Cap Value AlphaDEX® Fund | |
First Trust Small Cap Growth AlphaDEX® Fund | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
Certain losses realized during the current fiscal year may be deferred and treated as occurring on the first day of the following fiscal year for federal income tax purposes. For the fiscal year ended July 31, 2023, the Funds had no net late year ordinary or capital losses.
In order to present paid-in capital and accumulated distributable earnings (loss) (which consists of accumulated net investment income (loss), accumulated net realized gain (loss) on investments and net unrealized appreciation (depreciation) on investments) on the Statements of Assets and Liabilities that more closely represent their tax character, certain adjustments have been made to paid-in capital, accumulated net investment income (loss) and accumulated net realized gain (loss) on investments. These adjustments are primarily due to the difference between book and tax treatments of income and gains on various investment securities held by the Funds and in-kind transactions. The results of operations and net assets were not affected by these adjustments. For the fiscal year ended July 31, 2023, the adjustments for each Fund were as follows:
| Accumulated
Net Investment
Income (Loss) | Accumulated
Net Realized
Gain (Loss)
on Investments | |
First Trust Large Cap Core AlphaDEX® Fund | | | |
First Trust Mid Cap Core AlphaDEX® Fund | | | |
First Trust Small Cap Core AlphaDEX® Fund | | | |
First Trust Large Cap Value AlphaDEX® Fund | | | |
First Trust Large Cap Growth AlphaDEX® Fund | | | |
First Trust Multi Cap Value AlphaDEX® Fund | | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | | |
First Trust Mid Cap Value AlphaDEX® Fund | | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | | |
First Trust Small Cap Value AlphaDEX® Fund | | | |
First Trust Small Cap Growth AlphaDEX® Fund | | | |
As of July 31, 2023, the aggregate cost, gross unrealized appreciation, gross unrealized depreciation, and net unrealized appreciation/(depreciation) on investments (including short positions and derivatives, if any) for federal income tax purposes were as follows:
| | Gross Unrealized
Appreciation | Gross Unrealized
(Depreciation) | Net Unrealized
Appreciation
(Depreciation) |
First Trust Large Cap Core AlphaDEX® Fund | | | | |
First Trust Mid Cap Core AlphaDEX® Fund | | | | |
First Trust Small Cap Core AlphaDEX® Fund | | | | |
First Trust Large Cap Value AlphaDEX® Fund | | | | |
First Trust Large Cap Growth AlphaDEX® Fund | | | | |
First Trust Multi Cap Value AlphaDEX® Fund | | | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | | | |
First Trust Mid Cap Value AlphaDEX® Fund | | | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | | | |
First Trust Small Cap Value AlphaDEX® Fund | | | | |
First Trust Small Cap Growth AlphaDEX® Fund | | | | |
I. Expenses
Expenses that are directly related to one of the Funds are charged directly to the respective Fund, except for First Trust Mid Cap Value AlphaDEX® Fund, First Trust Mid Cap Growth AlphaDEX® Fund, First Trust Small Cap Value AlphaDEX® Fund and First Trust Small Cap Growth AlphaDEX® Fund (the “Unitary Fee Funds”), for which expenses other than excluded expenses (discussed in Note 3) are paid by the Advisor. General expenses of the Trust are allocated to all the Funds based upon the net assets of each Fund.
First Trust Portfolios L.P. (“FTP”) has entered into licensing agreements with Nasdaq, Inc. for each of the Style Funds. The license agreements allow for the use by FTP of certain trademarks and trade names. The Funds and First Trust are sub-licensees to the
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
applicable license agreement. The Funds, except for the Unitary Fee Funds, are required to pay licensing fees, which are shown on the Statements of Operations. The licensing fees for the Unitary Fee Funds are paid by First Trust from the unitary investment advisory fees it receives from each of these Funds.
3. Investment Advisory Fee, Affiliated Transactions and Other Fee Arrangements
First Trust, the investment advisor to the Funds, is a limited partnership with one limited partner, Grace Partners of DuPage L.P., and one general partner, The Charger Corporation. The Charger Corporation is an Illinois corporation controlled by James A. Bowen, Chief Executive Officer of First Trust. First Trust is responsible for the selection and ongoing monitoring of the securities in each Fund’s portfolio, managing the Funds’ business affairs and providing certain administrative services necessary for the management of the Funds.
For the Unitary Fee Funds, First Trust is paid an annual unitary management fee of such Fund’s average daily net assets and is responsible for the expenses of such Fund including the cost of transfer agency, custody, fund administration, legal, audit, license and other services, and excluding fee payments under the Investment Management Agreement, distribution and service fees pursuant to a Rule 12b-1 plan, if any, brokerage expenses, acquired fund fees and expenses, taxes, interest, and extraordinary expenses. Effective November 1, 2022, the management fee payable by each Fund to First Trust for these services will be reduced at certain levels of each Fund’s net assets (“breakpoints”) and calculated pursuant to the following schedule:
| |
Fund net assets up to and including $2.5 billion | |
Fund net assets greater than $2.5 billion up to and including $5 billion | |
Fund net assets greater than $5 billion up to and including $7.5 billion | |
Fund net assets greater than $7.5 billion up to and including $10 billion | |
Fund net assets greater than $10 billion up to and including $15 billion | |
Fund net assets greater than $15 billion | |
Prior to November 1, 2022, First Trust was paid an annual unitary management fee of 0.70% of such Unitary Fee Funds’ average daily net assets.
Effective November 1, 2022, for the First Trust Large Cap Core AlphaDEX® Fund, First Trust Mid Cap Core AlphaDEX® Fund, First Trust Small Cap Core AlphaDEX® Fund, First Trust Large Cap Value AlphaDEX® Fund, First Trust Large Cap Growth AlphaDEX® Fund, First Trust Multi Cap Value AlphaDEX® Fund and First Trust Multi Cap Growth AlphaDEX® Fund, First Trust is paid an annual management fee of each Fund’s average daily net assets and calculated pursuant to the following schedule:
| |
Fund net assets up to and including $2.5 billion | |
Fund net assets greater than $2.5 billion up to and including $5 billion | |
Fund net assets greater than $5 billion up to and including $7.5 billion | |
Fund net assets greater than $7.5 billion up to and including $10 billion | |
Fund net assets greater than $10 billion up to and including $15 billion | |
Fund net assets greater than $15 billion | |
Prior to November 1, 2022, First Trust was paid an annual management fee of 0.50% of such Fund’s average daily net assets.
For First Trust Large Cap Core AlphaDEX® Fund, First Trust Mid Cap Core AlphaDEX® Fund, First Trust Small Cap Core AlphaDEX® Fund, First Trust Large Cap Value AlphaDEX® Fund, First Trust Large Cap Growth AlphaDEX® Fund, First Trust Multi Cap Value AlphaDEX® Fund and First Trust Multi Cap Growth AlphaDEX® Fund, the Trust and First Trust have entered into an Expense Reimbursement, Fee Waiver and Recovery Agreement (“Recovery Agreement”) in which First Trust has agreed to waive fees and/or reimburse Fund expenses to the extent that the operating expenses of each such Fund (excluding interest expense, brokerage commissions and other trading expenses, acquired fund fees and expenses, taxes and extraordinary expenses) exceed 0.70% of average daily net assets per year (the “Expense Cap”). These Funds will have the Expense Cap in effect until at least November 30, 2024. For the fiscal year ended July 31, 2023, there were no fees waived or expenses reimbursed by First Trust for these Funds.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
Prior to November 1, 2022, expenses reimbursed and fees waived by First Trust under the Recovery Agreement were subject to recovery by First Trust for up to three years from the date the fee or expense was incurred, but no reimbursement payment would be made by a Fund if it resulted in the Fund’s expenses exceeding (i) the applicable expense limitation in place for the most recent fiscal year for which such expense limitation was in place, (ii) the applicable expense limitation in place at the time the fees were waived, or (iii) the current expense limitation. These amounts would be included in “Expenses previously waived or reimbursed” on the Statements of Operations. Effective November 1, 2022, in connection with the introduction of breakpoints discussed above, First Trust has agreed to remove its ability to recover previous expenses borne and fees waived under the Recovery Agreement.
The Trust has multiple service agreements with BNYM. Under the service agreements, BNYM performs custodial, fund accounting, certain administrative services, and transfer agency services for each Fund. As custodian, BNYM is responsible for custody of each Fund’s assets. As fund accountant and administrator, BNYM is responsible for maintaining the books and records of each Fund’s securities and cash. As transfer agent, BNYM is responsible for maintaining shareholder records for each Fund. BNYM is a subsidiary of The Bank of New York Mellon Corporation, a financial holding company.
Each Trustee who is not an officer or employee of First Trust, any sub-advisor or any of their affiliates (“Independent Trustees”) is paid a fixed annual retainer that is allocated equally among each fund in the First Trust Fund Complex. Each Independent Trustee is also paid an annual per fund fee that varies based on whether the fund is a closed-end or other actively managed fund, a target outcome fund or an index fund.
Additionally, the Lead Independent Trustee and the Chairs of the Audit Committee, Nominating and Governance Committee and Valuation Committee are paid annual fees to serve in such capacities, with such compensation allocated pro rata among each fund in the First Trust Fund Complex based on net assets. Independent Trustees are reimbursed for travel and out-of-pocket expenses in connection with all meetings. The Lead Independent Trustee and Committee Chairs rotate every three years. The officers and “Interested” Trustee receive no compensation from the Trust for acting in such capacities.
4. Purchases and Sales of Securities
For the fiscal year ended July 31, 2023, the cost of purchases and proceeds from sales of investments for each Fund, excluding short-term investments and in-kind transactions, were as follows:
| | |
First Trust Large Cap Core AlphaDEX® Fund | | |
First Trust Mid Cap Core AlphaDEX® Fund | | |
First Trust Small Cap Core AlphaDEX® Fund | | |
First Trust Large Cap Value AlphaDEX® Fund | | |
First Trust Large Cap Growth AlphaDEX® Fund | | |
First Trust Multi Cap Value AlphaDEX® Fund | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | |
First Trust Mid Cap Value AlphaDEX® Fund | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | |
First Trust Small Cap Value AlphaDEX® Fund | | |
First Trust Small Cap Growth AlphaDEX® Fund | | |
For the fiscal year ended July 31, 2023, the cost of in-kind purchases and proceeds from in-kind sales for each Fund were as follows:
| | |
First Trust Large Cap Core AlphaDEX® Fund | | |
First Trust Mid Cap Core AlphaDEX® Fund | | |
First Trust Small Cap Core AlphaDEX® Fund | | |
First Trust Large Cap Value AlphaDEX® Fund | | |
First Trust Large Cap Growth AlphaDEX® Fund | | |
First Trust Multi Cap Value AlphaDEX® Fund | | |
First Trust Multi Cap Growth AlphaDEX® Fund | | |
First Trust Mid Cap Value AlphaDEX® Fund | | |
First Trust Mid Cap Growth AlphaDEX® Fund | | |
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
| | |
First Trust Small Cap Value AlphaDEX® Fund | | |
First Trust Small Cap Growth AlphaDEX® Fund | | |
5. Creations, Redemptions and Transaction Fees
Each Fund generally issues and redeems its shares in primary market transactions through a creation and redemption mechanism and does not sell or redeem individual shares. Instead, financial entities known as “Authorized Participants” have contractual arrangements with a Fund or one of the Fund’s service providers to purchase and redeem Fund shares directly with the Fund in large blocks of shares known as “Creation Units.” Prior to the start of trading on every business day, a Fund publishes through the National Securities Clearing Corporation (“NSCC”) the “basket” of securities, cash or other assets that it will accept in exchange for a Creation Unit of the Fund’s shares. An Authorized Participant that wishes to effectuate a creation of a Fund’s shares deposits with the Fund the “basket” of securities, cash or other assets identified by the Fund that day, and then receives the Creation Unit of the Fund’s shares in return for those assets. After purchasing a Creation Unit, the Authorized Participant may continue to hold the Fund’s shares or sell them in the secondary market. The redemption process is the reverse of the purchase process:the Authorized Participant redeems a Creation Unit of a Fund’s shares for a basket of securities, cash or other assets. The combination of the creation and redemption process with secondary market trading in a Fund’s shares and underlying securities provides arbitrage opportunities that are designed to help keep the market price of a Fund’s shares at or close to the NAV per share of the Fund.
Each Fund imposes fees in connection with the purchase of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, plus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the creation basket.
Each Fund also imposes fees in connection with the redemption of Creation Units. These fees may vary based upon various fact-based circumstances, including, but not limited to, the composition of the securities included in the Creation Unit or the countries in which the transactions are settled. The price received for each Creation Unit will equal the daily NAV per share of a Fund times the number of shares in a Creation Unit, minus the fees described above and, if applicable, any operational processing and brokerage costs, transfer fees, stamp taxes and part or all of the spread between the expected bid and offer side of the market related to the securities comprising the redemption basket. Investors who use the services of a broker or other such intermediary in addition to an Authorized Participant to effect a redemption of a Creation Unit may also be assessed an amount to cover the cost of such services. The redemption fee charged by a Fund will comply with Rule 22c-2 of the 1940 Act which limits redemption fees to no more than 2% of the value of the shares redeemed.
6. Distribution Plan
The Board of Trustees adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act. In accordance with the Rule 12b-1 plan, the Funds are authorized to pay an amount up to 0.25% of their average daily net assets each year to reimburse FTP, the distributor of the Funds, for amounts expended to finance activities primarily intended to result in the sale of Creation Units or the provision of investor services. FTP may also use this amount to compensate securities dealers or other persons that are Authorized Participants for providing distribution assistance, including broker-dealer and shareholder support and educational and promotional services.
No 12b-1 fees are currently paid by the Funds, and pursuant to a contractual arrangement, no 12b-1 fees will be paid any time before November 30, 2024.
7. Indemnification
The Trust, on behalf of the Funds, has a variety of indemnification obligations under contracts with its service providers. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Notes to Financial Statements (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023
8. Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements that have not already been disclosed.
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of First Trust Large Cap Core AlphaDEX® Fund, First Trust Mid Cap Core AlphaDEX® Fund, First Trust Small Cap Core AlphaDEX® Fund, First Trust Large Cap Value AlphaDEX® Fund, First Trust Large Cap Growth AlphaDEX® Fund, First Trust Multi Cap Value AlphaDEX® Fund, First Trust Multi Cap Growth AlphaDEX® Fund, First Trust Mid Cap Value AlphaDEX® Fund, First Trust Mid Cap Growth AlphaDEX® Fund, First Trust Small Cap Value AlphaDEX® Fund, and First Trust Small Cap Growth AlphaDEX® Fund (the “Funds”), each a series of the First Trust Exchange-Traded AlphaDEX® Fund, including the portfolios of investments, as of July 31, 2023, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2023, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Chicago, Illinois
September 22, 2023
We have served as the auditor of one or more First Trust investment companies since 2001.
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
Proxy Voting Policies and Procedures
A description of the policies and procedures that the Trust uses to determine how to vote proxies and information on how each Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling (800) 988-5891; (2) on each Fund’s website at www.ftportfolios.com; and (3) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Portfolio Holdings
Each Fund files portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be publicly available on the SEC’s website at www.sec.gov. Each Fund’s complete schedule of portfolio holdings for the second and fourth quarters of each fiscal year is included in the semi-annual and annual reports to shareholders, respectively, and is filed with the SEC on Form N-CSR. The semi-annual and annual report for each Fund is available to investors within 60 days after the period to which it relates. Each Fund’s Forms N-PORT and Forms N-CSR are available on the SEC’s website listed above.
Federal Tax Information
For the taxable year ended July 31, 2023, the following percentages of income dividend paid by the Funds qualify for the dividends received deduction available to corporations:
| Dividends Received
Deduction |
First Trust Large Cap Core AlphaDEX® Fund | |
First Trust Mid Cap Core AlphaDEX® Fund | |
First Trust Small Cap Core AlphaDEX® Fund | |
First Trust Large Cap Value AlphaDEX® Fund | |
First Trust Large Cap Growth AlphaDEX® Fund | |
First Trust Multi Cap Value AlphaDEX® Fund | |
First Trust Multi Cap Growth AlphaDEX® Fund | |
First Trust Mid Cap Value AlphaDEX® Fund | |
First Trust Mid Cap Growth AlphaDEX® Fund | |
First Trust Small Cap Value AlphaDEX® Fund | |
First Trust Small Cap Growth AlphaDEX® Fund | |
For the taxable year ended July 31, 2023, the following percentages of income dividend paid by the Funds are hereby designated as qualified dividend income:
| |
First Trust Large Cap Core AlphaDEX® Fund | |
First Trust Mid Cap Core AlphaDEX® Fund | |
First Trust Small Cap Core AlphaDEX® Fund | |
First Trust Large Cap Value AlphaDEX® Fund | |
First Trust Large Cap Growth AlphaDEX® Fund | |
First Trust Multi Cap Value AlphaDEX® Fund | |
First Trust Multi Cap Growth AlphaDEX® Fund | |
First Trust Mid Cap Value AlphaDEX® Fund | |
First Trust Mid Cap Growth AlphaDEX® Fund | |
First Trust Small Cap Value AlphaDEX® Fund | |
First Trust Small Cap Growth AlphaDEX® Fund | |
A portion of each of the Funds’ 2023 ordinary dividends (including short-term capital gains) paid to its shareholders during the fiscal year ended July 31, 2023, may be eligible for the Qualified Business Income Deduction (QBI) under the Internal Revenue Code of 1986, as amended, Section 199A for the aggregate dividends each Fund received from the underlying Real Estate Investment Trusts (REITs) these Funds invest in.
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
Risk Considerations
Risks are inherent in all investing. Certain general risks that may be applicable to a Fund are identified below, but not all of the material risks relevant to each Fund are included in this report and not all of the risks below apply to each Fund. The material risks of investing in each Fund are spelled out in its prospectus, statement of additional information and other regulatory filings. Before investing, you should consider each Fund’s investment objective, risks, charges and expenses, and read each Fund’s prospectus and statement of additional information carefully. You can download each Fund’s prospectus at www.ftportfolios.com or contact First Trust Portfolios L.P. at (800) 621-1675 to request a prospectus, which contains this and other information about each Fund.
Concentration Risk. To the extent that a fund is able to invest a significant percentage of its assets in a single asset class or the securities of issuers within the same country, state, region, industry or sector, an adverse economic, business or political development may affect the value of the fund’s investments more than if the fund were more broadly diversified. A fund that tracks an index will be concentrated to the extent the fund’s corresponding index is concentrated. A concentration makes a fund more susceptible to any single occurrence and may subject the fund to greater market risk than a fund that is more broadly diversified.
Credit Risk. Credit risk is the risk that an issuer of a security will be unable or unwilling to make dividend, interest and/or principal payments when due and the related risk that the value of a security may decline because of concerns about the issuer’s ability to make such payments.
Cyber Security Risk. The funds are susceptible to potential operational risks through breaches in cyber security. A breach in cyber security refers to both intentional and unintentional events that may cause a fund to lose proprietary information, suffer data corruption or lose operational capacity. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss. In addition, cyber security breaches of a fund’s third-party service providers, such as its administrator, transfer agent, custodian, or sub-advisor, as applicable, or issuers in which the fund invests, can also subject a fund to many of the same risks associated with direct cyber security breaches.
Defined Outcome Funds Risk. To the extent a fund’s investment strategy is designed to deliver returns tied to the price performance of an underlying ETF, an investor may not realize the returns the fund seeks to achieve if that investor does not hold shares for the entire target outcome period. In the event an investor purchases shares after the first day of the target outcome period or sells shares prior to the end of the target outcome period, the buffer that the fund seeks to provide against a decline in the value of the underlying ETF may not be available, the enhanced returns that the fund seeks to provide (if any) may not be available and the investor may not participate in a gain in the value of the underlying ETF up to the cap for the investor’s investment period. Additionally, the fund will not participate in gains of the underlying ETF above the cap and a shareholder may lose their entire investment. If the fund seeks enhanced returns, there are certain time periods when the value of the fund may fall faster than the value of the underlying ETF, and it is very unlikely that, on any given day during which the underlying ETF share price increases in value, the fund’s share price will increase at the same rate as the enhanced returns sought by the fund, which is designed for an entire target outcome period. Trading flexible exchange options involves risks different from, or possibly greater than, the risks associated with investing directly in securities, such as less liquidity and correlation and valuation risks. A fund may experience substantial downside from specific flexible exchange option positions and certain positions may expire worthless.
Derivatives Risk. To the extent a fund uses derivative instruments such as futures contracts, options contracts and swaps, the fund may experience losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivative. These risks are heightened when a fund’s portfolio managers use derivatives to enhance the fund’s return or as a substitute for a position or security, rather than solely to hedge (or offset) the risk of a position or security held by the fund.
Equity Securities Risk. To the extent a fund invests in equity securities, the value of the fund’s shares will fluctuate with changes in the value of the equity securities. Equity securities prices fluctuate for several reasons, including changes in investors’ perceptions of the financial condition of an issuer or the general condition of the relevant stock market, such as market volatility, or when political or economic events affecting the issuers occur. In addition, common stock prices may be particularly sensitive to rising interest rates, as the cost of capital rises and borrowing costs increase. Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market.
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
ETF Risk. The shares of an ETF trade like common stock and represent an interest in a portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although lack of liquidity in an ETF could result in it being more volatile and ETFs have management fees that increase their costs. Shares of an ETF trade on an exchange at market prices rather than net asset value, which may cause the shares to trade at a price greater than net asset value (premium) or less than net asset value (discount). In times of market stress, decisions by market makers to reduce or step away from their role of providing a market for an ETF’s shares, or decisions by an ETF’s authorized participants that they are unable or unwilling to proceed with creation and/or redemption orders of an ETF’s shares, could result in shares of the ETF trading at a discount to net asset value and in greater than normal intraday bid-ask spreads.
Fixed Income Securities Risk. To the extent a fund invests in fixed income securities, the fund will be subject to credit risk, income risk, interest rate risk, liquidity risk and prepayment risk. Income risk is the risk that income from a fund’s fixed income investments could decline during periods of falling interest rates. Interest rate risk is the risk that the value of a fund’s fixed income securities will decline because of rising interest rates. Liquidity risk is the risk that a security cannot be purchased or sold at the time desired, or cannot be purchased or sold without adversely affecting the price. Prepayment risk is the risk that the securities will be redeemed or prepaid by the issuer, resulting in lower interest payments received by the fund. In addition to these risks, high yield securities, or “junk” bonds, are subject to greater market fluctuations and risk of loss than securities with higher ratings, and the market for high yield securities is generally smaller and less liquid than that for investment grade securities.
Index or Model Constituent Risk. Certain funds may be a constituent of one or more indices or ETF models. As a result, such a fund may be included in one or more index-tracking exchange-traded funds or mutual funds. Being a component security of such a vehicle could greatly affect the trading activity involving a fund, the size of the fund and the market volatility of the fund. Inclusion in an index could increase demand for the fund and removal from an index could result in outsized selling activity in a relatively short period of time. As a result, a fund’s net asset value could be negatively impacted and the fund’s market price may be significantly below its net asset value during certain periods. In addition, index rebalances may potentially result in increased trading activity in a fund’s shares.
Index Provider Risk. To the extent a fund seeks to track an index, it is subject to Index Provider Risk. There is no assurance that the Index Provider will compile the Index accurately, or that the Index will be determined, maintained, constructed, reconstituted, rebalanced, composed, calculated or disseminated accurately. To correct any such error, the Index Provider may carry out an unscheduled rebalance or other modification of the Index constituents or weightings, which may increase the fund’s costs. The Index Provider does not provide any representation or warranty in relation to the quality, accuracy or completeness of data in the Index, and it does not guarantee that the Index will be calculated in accordance with its stated methodology. Losses or costs associated with any Index Provider errors generally will be borne by the fund and its shareholders.
Investment Companies Risk. To the extent a fund invests in the securities of other investment vehicles, the fund will incur additional fees and expenses that would not be present in a direct investment in those investment vehicles. Furthermore, the fund’s investment performance and risks are directly related to the investment performance and risks of the investment vehicles in which the fund invests.
LIBOR Risk. To the extent a fund invests in floating or variable rate obligations that use the London Interbank Offered Rate (“LIBOR”) as a reference interest rate, it is subject to LIBOR Risk. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased making LIBOR available as a reference rate over a phase-out period that began December 31, 2021. There is no assurance that any alternative reference rate, including the Secured Overnight Financing Rate (“SOFR”) will be similar to or produce the same value or economic equivalence as LIBOR or that instruments using an alternative rate will have the same volume or liquidity. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any potential effects of the transition away from LIBOR on the fund or on certain instruments in which the fund invests can be difficult to ascertain, and they may vary depending on a variety of factors, and they could result in losses to the fund.
Management Risk. To the extent that a fund is actively managed, it is subject to management risk. In managing an actively-managed fund’s investment portfolio, the fund’s portfolio managers will apply investment techniques and risk analyses that may not have the desired result. There can be no guarantee that a fund will meet its investment objective.
Market Risk. Market risk is the risk that a particular security, or shares of a fund in general, may fall in value. Securities held by a fund, as well as shares of a fund itself, are subject to market fluctuations caused by factors such as general economic conditions,
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result of the risk of loss associated with these market fluctuations. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious diseases or other public health issues, recessions, or other events could have a significant negative impact on a fund and its investments. Such events may affect certain geographic regions, countries, sectors and industries more significantly than others. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed “reasonably” normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease. These events also adversely affect the prices and liquidity of a fund’s portfolio securities or other instruments and could result in disruptions in the trading markets. Any of such circumstances could have a materially negative impact on the value of a fund’s shares and result in increased market volatility. During any such events, a fund’s shares may trade at increased premiums or discounts to their net asset value and the bid/ask spread on a fund’s shares may widen.
Non-U.S. Securities Risk. To the extent a fund invests in non-U.S. securities, it is subject to additional risks not associated with securities of domestic issuers. Non-U.S. securities are subject to higher volatility than securities of domestic issuers due to:possible adverse political, social or economic developments; restrictions on foreign investment or exchange of securities; capital controls; lack of liquidity; currency exchange rates; excessive taxation; government seizure of assets; the imposition of sanctions by foreign governments; different legal or accounting standards; and less government supervision and regulation of exchanges in foreign countries. Investments in non-U.S. securities may involve higher costs than investments in U.S. securities, including higher transaction and custody costs, as well as additional taxes imposed by non-U.S. governments. These risks may be heightened for securities of companies located, or with significant operations, in emerging market countries.
Operational Risk. Each fund is subject to risks arising from various operational factors, including, but not limited to, human error, processing and communication errors, errors of a fund’s service providers, counterparties or other third-parties, failed or inadequate processes and technology or systems failures. Each fund relies on third-parties for a range of services, including custody. Any delay or failure relating to engaging or maintaining such service providers may affect a fund’s ability to meet its investment objective. Although the funds and the funds’ investment advisor seek to reduce these operational risks through controls and procedures, there is no way to completely protect against such risks.
Passive Investment Risk. To the extent a fund seeks to track an index, the fund will invest in the securities included in, or representative of, the index regardless of their investment merit. A fund generally will not attempt to take defensive positions in declining markets.
Preferred Securities Risk. Preferred securities combine some of the characteristics of both common stocks and bonds. Preferred securities are typically subordinated to bonds and other debt securities in a company’s capital structure in terms of priority to corporate income, subjecting them to greater credit risk than those debt securities. Generally, holders of preferred securities have no voting rights with respect to the issuing company unless preferred dividends have been in arrears for a specified number of periods, at which time the preferred security holders may obtain limited rights. In certain circumstances, an issuer of preferred securities may defer payment on the securities and, in some cases, redeem the securities prior to a specified date. Preferred securities may also be substantially less liquid than other securities, including common stock.
Valuation Risk. The valuation of certain securities may carry more risk than that of common stock. Uncertainties in the conditions of the financial markets, unreliable reference data, lack of transparency and inconsistency of valuation models and processes may lead to inaccurate asset pricing. A fund may hold investments in sizes smaller than institutionally sized round lot positions (sometimes referred to as odd lots). However, third-party pricing services generally provide evaluations on the basis of institutionally-sized round lots. If a fund sells certain of its investments in an odd lot transaction, the sale price may be less than the value at which such securities have been held by the fund. Odd lots often trade at lower prices than institutional round lots. There is no assurance that the fund will be able to sell a portfolio security at the price established by the pricing service, which could result in a loss to the fund.
NOT FDIC INSURED NOT BANK GUARANTEED MAY LOSE VALUE
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
Remuneration
First Trust Advisors L.P. (“First Trust”) is authorised and regulated by the U.S. Securities and Exchange Commission and is entitled to market shares of the First Trust Exchange-Traded AlphaDEX® Fund funds it manages (the “Funds”) in certain member states in the European Economic Area in accordance with the cooperation arrangements in Article 42 of the Alternative Investment Fund Managers Directive (the “Directive”). First Trust is required under the Directive to make disclosures in respect of remuneration. The following disclosures are made in line with First Trust’s interpretation of currently available regulatory guidance on remuneration disclosures.
During the year ended December 31, 2022, the amount of remuneration paid (or to be paid) by First Trust Advisors L.P. in respect of the Funds is $3,135,201. This figure is comprised of $121,541 paid (or to be paid) in fixed compensation and $3,013,660 paid (or to be paid) in variable compensation. There were a total of 24 beneficiaries of the remuneration described above. Those amounts include $1,653,514 paid (or to be paid) to senior management of First Trust Advisors L.P. and $1,481,687 paid (or to be paid) to other employees whose professional activities have a material impact on the risk profiles of First Trust Advisors L.P. or the Funds (collectively, “Code Staff”).
Code Staff included in the aggregated figures disclosed above are rewarded in line with First Trust’s remuneration policy (the “Remuneration Policy”) which is determined and implemented by First Trust’s senior management. The Remuneration Policy reflects First Trust’s ethos of good governance and encapsulates the following principal objectives:
i.
to provide a clear link between remuneration and performance of First Trust and to avoid rewarding for failure;
ii.
to promote sound and effective risk management consistent with the risk profiles of the funds managed by First Trust; and
iii.
to remunerate staff in line with the business strategy, objectives, values and interests of First Trust and the funds managed by First Trust in a manner that avoids conflicts of interest.
First Trust assesses various risk factors which it is exposed to when considering and implementing remuneration for Code Staff and considers whether any potential award to such person(s) would give rise to a conflict of interest. First Trust does not reward failure, or consider the taking of risk or failure to take risk in its remuneration of Code Staff.
First Trust assesses performance for the purposes of determining payments in respect of performance-related remuneration of Code Staff by reference to a broad range of measures including (i) individual performance (using financial and non-financial criteria), and (ii) the overall performance of First Trust. Remuneration is not based upon the performance of the Funds.
The elements of remuneration are balanced between fixed and variable and the senior management sets fixed salaries at a level sufficient to ensure that variable remuneration incentivises and rewards strong individual performance but does not encourage excessive risk taking.
No individual is involved in setting his or her own remuneration.
Advisory Agreement
Board Considerations Regarding Approval of the Continuation of the Investment Management Agreement
The Board of Trustees of First Trust Exchange-Traded AlphaDEX® Fund (the “Trust”), including the Independent Trustees, unanimously approved the continuation of the Investment Management Agreement (the “Agreement”) with First Trust Advisors L.P. (the “Advisor”) on behalf of the following series of the Trust (each a “Fund” and collectively, the “Funds”):
First Trust Large Cap Core AlphaDEX® Fund (FEX) |
First Trust Mid Cap Core AlphaDEX® Fund (FNX) |
First Trust Small Cap Core AlphaDEX® Fund (FYX) |
First Trust Large Cap Value AlphaDEX® Fund (FTA) |
First Trust Large Cap Growth AlphaDEX® Fund (FTC) |
First Trust Multi Cap Value AlphaDEX® Fund (FAB) |
First Trust Multi Cap Growth AlphaDEX® Fund (FAD) |
First Trust Mid Cap Value AlphaDEX® Fund (FNK) |
First Trust Mid Cap Growth AlphaDEX® Fund (FNY) |
Additional Information (Continued)
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Style Funds
July 31, 2023 (Unaudited)
First Trust Small Cap Value AlphaDEX® Fund (FYT) |
First Trust Small Cap Growth AlphaDEX® Fund (FYC) |
The Board approved the continuation of the Agreement for each Fund for a one-year period ending June 30, 2024 at a meeting held on June 4–5, 2023. The Board determined for each Fund that the continuation of the Agreement is in the best interests of the Fund in light of the nature, extent and quality of the services provided and such other matters as the Board considered to be relevant in the exercise of its business judgment.
To reach this determination for each Fund, the Board considered its duties under the Investment Company Act of 1940, as amended (the “1940 Act”), as well as under the general principles of state law, in reviewing and approving advisory contracts; the requirements of the 1940 Act in such matters; the fiduciary duty of investment advisors with respect to advisory agreements and compensation; the standards used by courts in determining whether investment company boards have fulfilled their duties; and the factors to be considered by the Board in voting on such agreements. At meetings held on April 17, 2023 and June 4–5, 2023, the Board, including the Independent Trustees, reviewed materials provided by the Advisor responding to requests for information from counsel to the Independent Trustees, submitted on behalf of the Independent Trustees, that, among other things, outlined:the services provided by the Advisor to each Fund (including the relevant personnel responsible for these services and their experience); the advisory or unitary fee rate schedule payable by each Fund as compared to fees charged to a peer group of funds (the “Expense Group”) and a broad peer universe of funds (the “Expense Universe”), each assembled by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent source, and as compared to fees charged to other clients of the Advisor, including other exchange-traded funds (“ETFs”) managed by the Advisor; the expense ratio of each Fund as compared to expense ratios of the funds in the Fund’s Expense Group and Expense Universe; performance information for each Fund, including comparisons of each Fund’s performance to that of one or more relevant benchmark indexes and to that of a performance group of funds and a broad performance universe of funds (the “Performance Universe”), each assembled by Broadridge; the nature of expenses incurred in providing services to each Fund and the potential for the Advisor to realize economies of scale, if any; profitability and other financial data for the Advisor; any indirect benefits to the Advisor and its affiliate, First Trust Portfolios L.P. (“FTP”); and information on the Advisor’s compliance program. The Board reviewed initial materials with the Advisor at the meeting held on April 17, 2023, prior to which the Independent Trustees and their counsel met separately to discuss the information provided by the Advisor. Following the April meeting, counsel to the Independent Trustees, on behalf of the Independent Trustees, requested certain clarifications and supplements to the materials provided, and the information provided in response to those requests was considered at an executive session of the Independent Trustees and their counsel held prior to the June 4–5, 2023 meeting, as well as at the June meeting. The Board applied its business judgment to determine whether the arrangement between the Trust and the Advisor continues to be a reasonable business arrangement from each Fund’s perspective. The Board determined that, given the totality of the information provided with respect to the Agreements, the Board had received sufficient information to renew the Agreements. The Board considered that shareholders chose to invest or remain invested in a Fund knowing that the Advisor manages the Fund and knowing the Fund’s advisory or unitary fee.
In reviewing the Agreement for each Fund, the Board considered the nature, extent and quality of the services provided by the Advisor under the Agreement. The Board considered that the Advisor is responsible for the overall management and administration of the Trust and each Fund and reviewed all of the services provided by the Advisor to the Funds, as well as the background and experience of the persons responsible for such services. In reviewing the services provided, the Board noted the compliance program that had been developed by the Advisor and considered that it includes a robust program for monitoring the Advisor’s and each Fund’s compliance with the 1940 Act, as well as each Fund’s compliance with its investment objective, policies and restrictions. The Board also considered a report from the Advisor with respect to its risk management functions related to the operation of the Funds. Finally, as part of the Board’s consideration of the Advisor’s services, the Advisor, in its written materials and at the April 17, 2023 meeting, described to the Board the scope of its ongoing investment in additional personnel and infrastructure to maintain and improve the quality of services provided to the Funds and the other funds in the First Trust Fund Complex. In light of the information presented and the considerations made, the Board concluded that the nature, extent and quality of the services provided to the Trust and each Fund by the Advisor under the Agreements have been and are expected to remain satisfactory and that the Advisor has managed each Fund consistent with its investment objective, policies and restrictions.
For FEX, FTC, FTA, FNX, FAD, FAB and FYX (the “Non-Unitary Fee Funds”), the Board considered the advisory fee rate schedule payable by each Non-Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that the Advisor agreed to extend the current expense cap for each Non-Unitary Fee Fund through November 30, 2024.
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
For FNY, FNK, FYC and FYT (the “Unitary Fee Funds”), the Board considered the unitary fee rate schedule payable by each Unitary Fee Fund under the applicable Agreement for the services provided. The Board considered that as part of the unitary fee the Advisor is responsible for each Unitary Fee Fund’s expenses, including the cost of transfer agency, custody, fund administration, legal, audit and other services and license fees, if any, but excluding the fee payment under the applicable Agreement and interest, taxes, acquired fund fees and expenses, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution and service fees pursuant to a Rule 12b-1 plan, if any, and extraordinary expenses, if any.
The Board received and reviewed information showing the fee rates and expense ratios of the peer funds in the Expense Groups, as well as advisory and unitary fee rates charged by the Advisor to other fund (including ETFs) and non-fund clients, as applicable. Because each Fund’s Expense Group included peer funds that pay a unitary fee and because each Unitary Fee Fund pays a unitary fee, the Board determined that expense ratios were the most relevant comparative data point. Based on the information provided, the Board noted that the total (net) expense ratio for each Fund was above the median total (net) expense ratio of the peer funds in its respective Expense Group. With respect to the Expense Groups, the Board, at the April 17, 2023 meeting, discussed with Broadridge its methodology for assembling peer groups and discussed with the Advisor limitations in creating peer groups for index ETFs, including differences in underlying indexes and index-tracking methodologies that can result in greater management complexities across seemingly comparable ETFs, and different business models that may affect the pricing of services among ETF sponsors. The Board took these limitations and differences into account in considering the peer data. With respect to fees charged to other non-ETF clients, the Board considered differences between the Funds and other non-ETF clients that limited their comparability. In considering the advisory and unitary fee rate schedules overall, the Board also considered the Advisor’s statement that it seeks to meet investor needs through innovative and value-added investment solutions and the Advisor’s demonstrated long-term commitment to each Fund and the other funds in the First Trust Fund Complex.
The Board considered performance information for each Fund. The Board noted the process it has established for monitoring each Fund’s performance and portfolio risk on an ongoing basis, which includes quarterly performance reporting from the Advisor for the Funds. The Board determined that this process continues to be effective for reviewing each Fund’s performance. The Board received and reviewed information for periods ended December 31, 2022 regarding the performance of each Fund’s underlying index, the correlation between each Fund’s performance and that of its underlying index, each Fund’s tracking difference and each Fund’s excess return as compared to its benchmark index. The Board noted that, effective April 8, 2016, each Fund changed its underlying index to an index developed and maintained by Nasdaq, Inc. using the AlphaDEX® stock selection methodology, and that the performance information included a blend of the old and new indexes. The Board considered the Advisor’s explanations of how the AlphaDEX® stock selection methodology impacts Fund performance in various market environments, and the Advisor’s statement that AlphaDEX® is designed to provide long-term outperformance. Based on the information provided and its ongoing review of performance, the Board concluded that each Fund was correlated to its underlying index and that the tracking difference for each Fund was within a reasonable range. In addition, the Board reviewed data prepared by Broadridge comparing each Fund’s performance to that of its respective Performance Universe and to that of a broad-based benchmark index. However, given each Fund’s objective of seeking investment results that correspond generally to the performance of its underlying index, the Board placed more emphasis on its review of correlation and tracking difference.
On the basis of all the information provided on the fees, expenses and performance of each Fund and the ongoing oversight by the Board, the Board concluded that the advisory or unitary fee for each Fund continues to be reasonable and appropriate in light of the nature, extent and quality of the services provided by the Advisor to each Fund under the Agreements.
The Board considered information and discussed with the Advisor whether there were any economies of scale in connection with providing advisory services to the Funds at current asset levels and whether the Funds may benefit from any economies of scale. The Board noted that the advisory or unitary fee rate schedule for each Fund includes breakpoints pursuant to which the advisory or unitary fee rate will be reduced as assets of the Fund meet certain thresholds. The Board considered the Advisor’s statement that it believes that its expenses relating to providing advisory services to the Funds will increase during the next twelve months as the Advisor continues to build infrastructure and add new staff. For the Non-Unitary Fee Funds, the Board concluded that the advisory fee rate schedule for each Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. For the Unitary Fee Funds, the Board also noted that under the unitary fee structure, any reduction in expenses associated with the management and operations of the Unitary Fee Funds would benefit the Advisor, but that the unitary fee structure provides a level of certainty in expenses for shareholders of the Unitary Fee Funds. The Board concluded that the unitary fee rate schedule for each Unitary Fee Fund reflects an appropriate level of sharing of any economies of scale that may be realized in the management of the Fund at current asset levels. The Board considered the revenues and allocated costs (including the allocation
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
methodology) of the Advisor in serving as investment advisor to each Fund for the twelve months ended December 31, 2022 and the estimated profitability level for each Fund calculated by the Advisor based on such data, as well as complex-wide and product-line profitability data, for the same period. The Board noted the inherent limitations in the profitability analysis and concluded that, based on the information provided, the Advisor’s profitability level for each Fund was not unreasonable. In addition, the Board considered indirect benefits described by the Advisor that may be realized from its relationship with the Funds. The Board considered that the Advisor had identified as an indirect benefit to the Advisor and FTP their exposure to investors and brokers who, absent their exposure to the Funds, may have had no dealings with the Advisor or FTP, and noted that the Advisor does not utilize soft dollars in connection with the Funds. The Board concluded that the character and amount of potential indirect benefits to the Advisor were not unreasonable.
Based on all of the information considered and the conclusions reached, the Board, including the Independent Trustees, unanimously determined that the terms of the Agreements continue to be fair and reasonable and that the continuation of the Agreements is in the best interests of each Fund. No single factor was determinative in the Board’s analysis.
Liquidity Risk Management Program
In accordance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds and each other fund in the First Trust Fund Complex, other than the closed-end funds, have adopted and implemented a liquidity risk management program (the “Program”) reasonably designed to assess and manage the funds’ liquidity risk, i.e., the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. The Board of Trustees of the First Trust Funds has appointed First Trust Advisors, L.P. (the “Advisor”) as the person designated to administer the Program, and in this capacity the Advisor performs its duties primarily through the activities and efforts of the First Trust Liquidity Committee (the “Liquidity Committee”).
Pursuant to the Program, the Liquidity Committee classifies the liquidity of each fund’s portfolio investments into one of the four liquidity categories specified by Rule 22e-4: highly liquid investments, moderately liquid investments, less liquid investments and illiquid investments. The Liquidity Committee determines certain of the inputs for this classification process, including reasonably anticipated trade sizes and significant investor dilution thresholds. The Liquidity Committee also determines and periodically reviews a highly liquid investment minimum for certain funds, monitors the funds’ holdings of assets classified as illiquid investments to seek to ensure they do not exceed 15% of a fund’s net assets and establishes policies and procedures regarding redemptions in kind.
At the April 17, 2023 meeting of the Board of Trustees, as required by Rule 22e-4 and the Program, the Advisor provided the Board with a written report prepared by the Advisor that addressed the operation of the Program during the period from March 17, 2022 through the Liquidity Committee’s annual meeting held on March 23, 2023 and assessed the Program’s adequacy and effectiveness of implementation during this period, including the operation of the highly liquid investment minimum for each fund that is required under the Program to have one, and any material changes to the Program. Note that because the Funds primarily hold assets that are highly liquid investments, the Funds have not adopted any highly liquid investment minimums.
As stated in the written report, during the review period, two funds breached the 15% limitation on illiquid investments for one day each, as a result of an unscheduled week-long closure of the stock exchange in Istanbul following devastating earthquakes in February, causing all Turkish equities to be re-classified as “illiquid” for one day. Each fund filed a Form N-RN on the day after the breach occurred, and one day later after the breach was cured. No fund with a highly liquid investment minimum breached that minimum during the reporting period. The Advisor concluded that each fund’s investment strategy is appropriate for an open-end fund; that the Program operated effectively in all material respects during the review period; and that the Program is reasonably designed to assess and manage the liquidity risk of each fund and to maintain compliance with Rule 22e-4.
Board of Trustees
Effective September 10, 2023, the exchange-traded funds, closed-end funds, mutual funds and variable insurance funds (collectively, the “Funds”) advised by First Trust Advisors L.P. (“FTA”) announced the appointment of Ms. Bronwyn Wright as a Trustee of all Funds except the exchange-traded funds included in the First Trust Exchange-Traded Fund and the First Trust Dynamic Europe Equity Income Fund, a closed-end fund. Ms. Wright has acted as an independent director to a number of Irish collective investment funds since 2009. Ms. Wright is a former Managing Director of Citibank Europe plc and Head of Securities and Fund Services for Citi Ireland. In these positions, she was responsible for the management and strategic direction of Citi Ireland's securities and fund services
Additional Information (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
July 31, 2023 (Unaudited)
business which included funds, custody, security finance/lending and global agency and trust. She also had responsibility for leading, managing and growing the Trustee, Custodian and Depositary business in Ireland, the United Kingdom, Luxembourg, Jersey and Cayman.
Board of Trustees and Officers
First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)
The following tables identify the Trustees and Officers of the Trust. Unless otherwise indicated, the address of all persons is 120 East Liberty Drive, Suite 400, Wheaton, IL 60187.
The Trust’s statement of additional information includes additional information about the Trustees and is available, without charge, upon request, by calling (800) 988-5891.
Name,
Year of Birth and
Position with the Trust | Term of Office
and Year First
Elected or
Appointed | Principal Occupations
During Past 5 Years | Number of
Portfolios in
the First Trust
Fund Complex
Overseen by
Trustee | Other
Trusteeships or
Directorships
Held by Trustee
During Past
5 Years |
|
Richard E. Erickson, Trustee
(1951) | • Indefinite Term • Since Inception | Physician, Edward-Elmhurst Medical Group; Physician and Officer, Wheaton Orthopedics (1990 to 2021) | | |
Thomas R. Kadlec, Trustee
(1957) | • Indefinite Term • Since Inception | Retired; President, ADM Investors Services, Inc. (Futures Commission Merchant) (2010 to July 2022) | | Director, National Futures Association and ADMIS Singapore Ltd.; Formerly, Director of ADM Investor Services, Inc., ADM Investor Services International, ADMIS Hong Kong Ltd., and Futures Industry Association |
Denise M. Keefe, Trustee
(1964) | • Indefinite Term • Since 2021 | Executive Vice President, Advocate Aurora Health and President, Advocate Aurora Continuing Health Division (Integrated Healthcare System) | | Director and Board Chair of Advocate Home Health Services, Advocate Home Care Products and Advocate Hospice; Director and Board Chair of Aurora At Home (since 2018); Director of Advocate Physician Partners Accountable Care Organization; Director of RML Long Term Acute Care Hospitals; Director of Senior Helpers (since 2021); and Director of MobileHelp (since 2022) |
Robert F. Keith, Trustee
(1956) | • Indefinite Term • Since Inception | President, Hibs Enterprises (Financial and Management Consulting) | | Formerly, Director of Trust Company of Illinois |
Niel B. Nielson, Trustee
(1954) | • Indefinite Term • Since Inception | Senior Advisor (2018 to Present), Managing Director and Chief Operating Officer (2015 to 2018), Pelita Harapan Educational Foundation (Educational Products and Services) | | |
|
James A. Bowen(1), Trustee,
Chairman of the Board
(1955) | • Indefinite Term • Since Inception | Chief Executive Officer, First Trust Advisors L.P. and First Trust Portfolios L.P., Chairman of the Board of Directors, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) | | |
(1)
Mr. Bowen is deemed an “interested person” of the Trust due to his position as Chief Executive Officer of First Trust Advisors L.P., investment advisor of the Trust.
Board of Trustees and Officers (Continued)
First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)
| Position and
Offices
with Trust | Term of Office
and Length of
Service | Principal Occupations
During Past 5 Years |
|
| President and Chief Executive Officer | • Indefinite Term • Since January 2016 | Managing Director and Chief Financial Officer, First Trust Advisors L.P. and First Trust Portfolios L.P.; Chief Financial Officer, BondWave LLC (Software Development Company) and Stonebridge Advisors LLC (Investment Advisor) |
| Treasurer, Chief Financial Officer and Chief Accounting Officer | • Indefinite Term • Since 2023 | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., July 2021 - present. Previously, Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P., 2014 - 2021. |
| Secretary and Chief Legal Officer | • Indefinite Term • Since Inception | General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P.; Secretary and General Counsel, BondWave LLC; Secretary, Stonebridge Advisors LLC |
Daniel J. Lindquist
(1970) | | • Indefinite Term • Since Inception | Managing Director, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| Chief Compliance Officer and Assistant Secretary | • Indefinite Term • Chief Compliance Officer Since January 2011 • Assistant Secretary Since Inception | Deputy General Counsel, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
| | • Indefinite Term • Since Inception | Senior Vice President, First Trust Advisors L.P. and First Trust Portfolios L.P. |
(2)
The term “officer” means the president, vice president, secretary, treasurer, controller or any other officer who performs a policy making function.
First Trust Exchange-Traded AlphaDEX® Fund
July 31, 2023 (Unaudited)
Privacy Policy
First Trust values our relationship with you and considers your privacy an important priority in maintaining that relationship. We are committed to protecting the security and confidentiality of your personal information.
Sources of Information
We collect nonpublic personal information about you from the following sources:
• Information we receive from you and your broker-dealer, investment professional or financial representative through interviews, applications, agreements or other forms;
• Information about your transactions with us, our affiliates or others;
• Information we receive from your inquiries by mail, e-mail or telephone; and
• Information we collect on our website through the use of “cookies.” For example, we may identify the pages on our website that your browser requests or visits.
Information Collected
The type of data we collect may include your name, address, social security number, age, financial status, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, investment objectives, marital status, family relationships and other personal information.
Disclosure of Information
We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law. In addition to using this information to verify your identity (as required under law), the permitted uses may also include the disclosure of such information to unaffiliated companies for the following reasons:
• In order to provide you with products and services and to effect transactions that you request or authorize, we may disclose your personal information as described above to unaffiliated financial service providers and other companies that perform administrative or other services on our behalf, such as transfer agents, custodians and trustees, or that assist us in the distribution of investor materials such as trustees, banks, financial representatives, proxy services, solicitors and printers.
• We may release information we have about you if you direct us to do so, if we are compelled by law to do so, or in other legally limited circumstances (for example to protect your account from fraud).
In addition, in order to alert you to our other financial products and services, we may share your personal information within First Trust.
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March 2023
First Trust Exchange-Traded AlphaDEX® Fund
Style Funds
INVESTMENT ADVISOR
First Trust Advisors L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
ADMINISTRATOR, CUSTODIAN,
FUND ACCOUNTANT &
TRANSFER AGENT
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
111 South Wacker Drive
Chicago, IL 60606
LEGAL COUNSEL
Chapman and Cutler LLP
320 South Canal Street
Chicago, IL 60606
Item 2. Code of Ethics.
| (a) | | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
| (c) | | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
| (d) | | The registrant, during the period covered by this report, has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
| (f) | | A copy of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller is filed as an exhibit pursuant to Item 13(a)(1). |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of trustees has determined that Thomas R. Kadlec and Robert F. Keith are qualified to serve as audit committee financial experts serving on its audit committee and that each of them is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees (Registrant) -- The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $400,000 for the fiscal year ended July 31, 2022 and $400,000 for the fiscal year ended July 31, 2023.
(b) Audit-Related Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
Audit-Related Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(c) Tax Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant were $223,261 for the fiscal year ended July 31, 2022 and $175,323 for the fiscal year ended July 31, 2023. These fees were for tax consultation and/or tax return preparation and professional services rendered for PFIC (Passive Foreign Investment Company) Identification Services.
Tax Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning to the registrant’s advisor and distributor were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(d) All Other Fees (Registrant) -- All Other Fees (Registrant) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
All Other Fees (Investment Advisor and Distributor) -- The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant to the registrant’s investment advisor and distributor, other than the services reported in paragraphs (a) through (c) of this Item were $0 for the fiscal year ended July 31, 2022 and $0 for the fiscal year ended July 31, 2023.
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval Policy, the Audit Committee (the “Committee”) is responsible for the pre-approval of all audit services and permitted non-audit services (including the fees and terms thereof) to be performed for the registrant by its independent auditors. The Chairman of the Committee is authorized to give such pre-approvals on behalf of the Committee up to $25,000 and report any such pre-approval to the full Committee.
The Committee is also responsible for the pre-approval of the independent auditor’s engagements for non-audit services with the registrant’s advisor (not including a sub-advisor whose role is primarily portfolio management and is sub-contracted or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant, subject to the de minimis exceptions for non-audit services described in Rule 2-01 of Regulation S-X. If the independent auditor has provided non-audit services to the registrant’s advisor (other than any sub-advisor whose role is primarily portfolio management and is sub-contracted with or overseen by another investment advisor) and any entity controlling, controlled by or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to its policies, the Committee will consider whether the provision of such non-audit services is compatible with the auditor’s independence.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) for the registrant and the registrant’s investment advisor and distributor of this Item that were approved by the audit committee pursuant to the pre-approval exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule 2-01 of Regulation S-X are as follows:
| | Registrant: | | Advisor and Distributor: |
| | (b) | 0% | | (b) | 0% |
| | (c) | 0% | | (c) | 0% |
| | (d) | 0% | | (d) | 0% |
(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the advisor that provides ongoing services to the registrant for the fiscal year ended July 31, 2022, were $223,261 for the registrant, $16,500 for the registrant’s investment advisor and $29,500 for the registrant’s distributor, and for the fiscal year ended July 31, 2023 were $175,323 for the registrant, $31,000 for the registrant’s investment advisor and $45,500 for the registrant’s distributor.
(h) The registrant’s audit committee of its Board of Trustees has determined that the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor), and any entity controlling, controlled by, or under common control with the investment advisor that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Items 5. Audit Committee of Listed Registrants.
The registrant has a separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. The audit committee of the registrant is comprised of Richard E. Erickson, Thomas R. Kadlec, Denise M. Keefe, Robert F. Keith and Niel B. Nielson.
Item 6. Investments.
| (a) | | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407 (c) (2) (iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22 (b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| (a) | | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)). |
| (b) | | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (registrant) | | First Trust Exchange-Traded AlphaDEX® Fund |
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | | /s/ James M. Dykas |
| | | James M. Dykas, President and Chief Executive Officer
(principal executive officer) |
| By (Signature and Title)* | | /s/ Derek D. Maltbie |
| | | Derek D. Maltbie, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer) |
* Print the name and title of each signing officer under his or her signature.
